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Sample records for autoregressive modelling approach

  1. A Deep and Autoregressive Approach for Topic Modeling of Multimodal Data.

    Science.gov (United States)

    Zheng, Yin; Zhang, Yu-Jin; Larochelle, Hugo

    2016-06-01

    Topic modeling based on latent Dirichlet allocation (LDA) has been a framework of choice to deal with multimodal data, such as in image annotation tasks. Another popular approach to model the multimodal data is through deep neural networks, such as the deep Boltzmann machine (DBM). Recently, a new type of topic model called the Document Neural Autoregressive Distribution Estimator (DocNADE) was proposed and demonstrated state-of-the-art performance for text document modeling. In this work, we show how to successfully apply and extend this model to multimodal data, such as simultaneous image classification and annotation. First, we propose SupDocNADE, a supervised extension of DocNADE, that increases the discriminative power of the learned hidden topic features and show how to employ it to learn a joint representation from image visual words, annotation words and class label information. We test our model on the LabelMe and UIUC-Sports data sets and show that it compares favorably to other topic models. Second, we propose a deep extension of our model and provide an efficient way of training the deep model. Experimental results show that our deep model outperforms its shallow version and reaches state-of-the-art performance on the Multimedia Information Retrieval (MIR) Flickr data set.

  2. Empirical Vector Autoregressive Modeling

    NARCIS (Netherlands)

    M. Ooms (Marius)

    1993-01-01

    textabstractChapter 2 introduces the baseline version of the VAR model, with its basic statistical assumptions that we examine in the sequel. We first check whether the variables in the VAR can be transformed to meet these assumptions. We analyze the univariate characteristics of the series. Import

  3. Chain binomial models and binomial autoregressive processes.

    Science.gov (United States)

    Weiss, Christian H; Pollett, Philip K

    2012-09-01

    We establish a connection between a class of chain-binomial models of use in ecology and epidemiology and binomial autoregressive (AR) processes. New results are obtained for the latter, including expressions for the lag-conditional distribution and related quantities. We focus on two types of chain-binomial model, extinction-colonization and colonization-extinction models, and present two approaches to parameter estimation. The asymptotic distributions of the resulting estimators are studied, as well as their finite-sample performance, and we give an application to real data. A connection is made with standard AR models, which also has implications for parameter estimation.

  4. Beyond long memory in heart rate variability: An approach based on fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity

    Science.gov (United States)

    Leite, Argentina; Paula Rocha, Ana; Eduarda Silva, Maria

    2013-06-01

    Heart Rate Variability (HRV) series exhibit long memory and time-varying conditional variance. This work considers the Fractionally Integrated AutoRegressive Moving Average (ARFIMA) models with Generalized AutoRegressive Conditional Heteroscedastic (GARCH) errors. ARFIMA-GARCH models may be used to capture and remove long memory and estimate the conditional volatility in 24 h HRV recordings. The ARFIMA-GARCH approach is applied to fifteen long term HRV series available at Physionet, leading to the discrimination among normal individuals, heart failure patients, and patients with atrial fibrillation.

  5. Random Walk Smooth Transition Autoregressive Models

    OpenAIRE

    2004-01-01

    This paper extends the family of smooth transition autoregressive (STAR) models by proposing a specification in which the autoregressive parameters follow random walks. The random walks in the parameters can capture structural change within a regime switching framework, but in contrast to the time varying STAR (TV-STAR) speciifcation recently introduced by Lundbergh et al (2003), structural change in our random walk STAR (RW-STAR) setting follows a stochastic process rather than a determinist...

  6. A novel approach to equipment health management based on auto-regressive hidden semi-Markov model (AR-HSMM)

    Institute of Scientific and Technical Information of China (English)

    DONG Ming

    2008-01-01

    As a new maintenance method, CBM (condition based maintenance) is becoming more and more important for the health management of complicated and costly equipment. A prerequisite to widespread deployment of CBM technology and prac-tice in industry is effective diagnostics and prognostics. Recently, a pattern recog-nition technique called HMM (hidden Markov model) was widely used in many fields. However, due to some unrealistic assumptions, diagnositic results from HMM were not so good, and it was difficult to use HMM directly for prognosis. By relaxing the unrealistic assumptions in HMM, this paper presents a novel approach to equip-ment health management based on auto-regressive hidden semi-Markov model (AR-HSMM). Compared with HMM, AR-HSMM has three advantages: 1)It allows explicitly modeling the time duration of the hidden states and therefore is capable of prognosis. 2) It can relax observations' independence assumption by accom-modating a link between consecutive observations. 3) It does not follow the unre-alistic Markov chain's memoryless assumption and therefore provides more pow-erful modeling and analysis capability for real problems. To facilitate the computation in the proposed AR-HSMM-based diagnostics and prognostics, new forwardbackward variables are defined and a modified forward-backward algorithm is developed. The evaluation of the proposed methodology was carried out through a real world application case study: health diagnosis and prognosis of hydraulic pumps in Caterpillar Inc. The testing results show that the proposed new approach based on AR-HSMM is effective and can provide useful support for the decision-making in equipment health management.

  7. Forecasting with periodic autoregressive time series models

    NARCIS (Netherlands)

    Ph.H.B.F. Franses (Philip Hans); R. Paap (Richard)

    1999-01-01

    textabstractThis paper is concerned with forecasting univariate seasonal time series data using periodic autoregressive models. We show how one should account for unit roots and deterministic terms when generating out-of-sample forecasts. We illustrate the models for various quarterly UK consumption

  8. Generalization error bounds for stationary autoregressive models

    CERN Document Server

    McDonald, Daniel J; Schervish, Mark

    2011-01-01

    We derive generalization error bounds for stationary univariate autoregressive (AR) models. We show that the stationarity assumption alone lets us treat the estimation of AR models as a regularized kernel regression without the need to further regularize the model arbitrarily. We thereby bound the Rademacher complexity of AR models and apply existing Rademacher complexity results to characterize the predictive risk of AR models. We demonstrate our methods by predicting interest rate movements.

  9. Evaluation of a vector autoregressive approach for downscaling

    Science.gov (United States)

    Salonen, Sebastian; Sauter, Tobias

    2014-05-01

    Statisical downscaling has become a well-established tool in regional and local impact assessments over the last few years. Robust and universal downscaling methods are required to reliably correct the spatial and temporal structures from coarse models. In this study we set up and evaluate the application of VAR-models for automated temperature and precipitation downscaling. VAR-models belong to the vectorial regression-techniques, that include autoregressive effects of the considered time series. They might be seen as an extension of univariate time-series analysis to multivariate perspective. Including autoregressive effects is one of the great advantages of this method, but also includes some pitfalls. Before the model can be applied the structure of the data must be carfully examined and require appropriate data preprocessing. We study in detail different preprocessing techniques and the possibility of the automatization. The proposed method has been applied and evaluated to temperature and precipitation data in the Rhineland region (Germany) and Svalbard. The large-scale atmospheric data are derived from ERA-40 as NCEP/NCAR reanalysis. These datasets offer the possibility to determine the applicability of VAR-models in a downscaling approach, their need for data-preparation techniques and the possibility of an automatization of an approach based on these models.

  10. Problem signatures from enhanced vector autoregressive modeling

    Science.gov (United States)

    Andriamanalimanana, Bruno R.; Sengupta, Saumen S.

    2001-09-01

    The work reported in this paper concerns the enhancement of mutivariate autoregressive (AR) models with geometric shape analysis data and stochastic causal relations. The study aims at producing numerical signatures characterizing operating problems, from multivariate time series of data collected in an application and operating environment domain. Since the information content of an AR model does not appear sufficient to characterize observed vector values fully, both geometric and stochastic modeling techniques are applied to refine causal inferences further. The specific application domain used for this study is real-time network traffic monitoring. However, other domains utilizing vector models might benefit as well. A partial Java implementation is being used for experimentation.

  11. ENSO Prediction using Vector Autoregressive Models

    Science.gov (United States)

    Chapman, D. R.; Cane, M. A.; Henderson, N.; Lee, D.; Chen, C.

    2013-12-01

    A recent comparison (Barnston et al, 2012 BAMS) shows the ENSO forecasting skill of dynamical models now exceeds that of statistical models, but the best statistical models are comparable to all but the very best dynamical models. In this comparison the leading statistical model is the one based on the Empirical Model Reduction (EMR) method. Here we report on experiments with multilevel Vector Autoregressive models using only sea surface temperatures (SSTs) as predictors. VAR(L) models generalizes Linear Inverse Models (LIM), which are a VAR(1) method, as well as multilevel univariate autoregressive models. Optimal forecast skill is achieved using 12 to 14 months of prior state information (i.e 12-14 levels), which allows SSTs alone to capture the effects of other variables such as heat content as well as seasonality. The use of multiple levels allows the model advancing one month at a time to perform at least as well for a 6 month forecast as a model constructed to explicitly forecast 6 months ahead. We infer that the multilevel model has fully captured the linear dynamics (cf. Penland and Magorian, 1993 J. Climate). Finally, while VAR(L) is equivalent to L-level EMR, we show in a 150 year cross validated assessment that we can increase forecast skill by improving on the EMR initialization procedure. The greatest benefit of this change is in allowing the prediction to make effective use of information over many more months.

  12. Modeling of non-stationary autoregressive alpha-stable processe

    Data.gov (United States)

    National Aeronautics and Space Administration — In the literature, impulsive signals are mostly modeled by symmetric alpha-stable processes. To represent their temporal dependencies, usually autoregressive models...

  13. Unintentional Interpersonal Synchronization Represented as a Reciprocal Visuo-Postural Feedback System: A Multivariate Autoregressive Modeling Approach.

    Directory of Open Access Journals (Sweden)

    Shuntaro Okazaki

    Full Text Available People's behaviors synchronize. It is difficult, however, to determine whether synchronized behaviors occur in a mutual direction--two individuals influencing one another--or in one direction--one individual leading the other, and what the underlying mechanism for synchronization is. To answer these questions, we hypothesized a non-leader-follower postural sway synchronization, caused by a reciprocal visuo-postural feedback system operating on pairs of individuals, and tested that hypothesis both experimentally and via simulation. In the behavioral experiment, 22 participant pairs stood face to face either 20 or 70 cm away from each other wearing glasses with or without vision blocking lenses. The existence and direction of visual information exchanged between pairs of participants were systematically manipulated. The time series data for the postural sway of these pairs were recorded and analyzed with cross correlation and causality. Results of cross correlation showed that postural sway of paired participants was synchronized, with a shorter time lag when participant pairs could see one another's head motion than when one of the participants was blindfolded. In addition, there was less of a time lag in the observed synchronization when the distance between participant pairs was smaller. As for the causality analysis, noise contribution ratio (NCR, the measure of influence using a multivariate autoregressive model, was also computed to identify the degree to which one's postural sway is explained by that of the other's and how visual information (sighted vs. blindfolded interacts with paired participants' postural sway. It was found that for synchronization to take place, it is crucial that paired participants be sighted and exert equal influence on one another by simultaneously exchanging visual information. Furthermore, a simulation for the proposed system with a wider range of visual input showed a pattern of results similar to the

  14. Unintentional Interpersonal Synchronization Represented as a Reciprocal Visuo-Postural Feedback System: A Multivariate Autoregressive Modeling Approach.

    Science.gov (United States)

    Okazaki, Shuntaro; Hirotani, Masako; Koike, Takahiko; Bosch-Bayard, Jorge; Takahashi, Haruka K; Hashiguchi, Maho; Sadato, Norihiro

    2015-01-01

    People's behaviors synchronize. It is difficult, however, to determine whether synchronized behaviors occur in a mutual direction--two individuals influencing one another--or in one direction--one individual leading the other, and what the underlying mechanism for synchronization is. To answer these questions, we hypothesized a non-leader-follower postural sway synchronization, caused by a reciprocal visuo-postural feedback system operating on pairs of individuals, and tested that hypothesis both experimentally and via simulation. In the behavioral experiment, 22 participant pairs stood face to face either 20 or 70 cm away from each other wearing glasses with or without vision blocking lenses. The existence and direction of visual information exchanged between pairs of participants were systematically manipulated. The time series data for the postural sway of these pairs were recorded and analyzed with cross correlation and causality. Results of cross correlation showed that postural sway of paired participants was synchronized, with a shorter time lag when participant pairs could see one another's head motion than when one of the participants was blindfolded. In addition, there was less of a time lag in the observed synchronization when the distance between participant pairs was smaller. As for the causality analysis, noise contribution ratio (NCR), the measure of influence using a multivariate autoregressive model, was also computed to identify the degree to which one's postural sway is explained by that of the other's and how visual information (sighted vs. blindfolded) interacts with paired participants' postural sway. It was found that for synchronization to take place, it is crucial that paired participants be sighted and exert equal influence on one another by simultaneously exchanging visual information. Furthermore, a simulation for the proposed system with a wider range of visual input showed a pattern of results similar to the behavioral results.

  15. Model reduction methods for vector autoregressive processes

    CERN Document Server

    Brüggemann, Ralf

    2004-01-01

    1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time series during the last two decades. The great success of this modeling class started with Sims' (1980) critique of the traditional simultaneous equation models (SEM). Sims criticized the use of 'too many incredible restrictions' based on 'supposed a priori knowledge' in large scale macroeconometric models which were popular at that time. Therefore, he advo­ cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Ever since his influential paper these models have been employed extensively to characterize the underlying dynamics in systems of time series. In particular, tools to summarize the dynamic interaction between the system variables, such as impulse response analysis or forecast error variance decompo­ sitions, have been developed over the years. The econometrics of VAR models and related quantities i...

  16. Bias-correction in vector autoregressive models

    DEFF Research Database (Denmark)

    Engsted, Tom; Pedersen, Thomas Quistgaard

    2014-01-01

    We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation study......, we show that when the model is stationary this simple bias formula compares very favorably to bootstrap bias-correction, both in terms of bias and mean squared error. In non-stationary models, the analytical bias formula performs noticeably worse than bootstrapping. Both methods yield a notable...... improvement over ordinary least squares. We pay special attention to the risk of pushing an otherwise stationary model into the non-stationary region of the parameter space when correcting for bias. Finally, we consider a recently proposed reduced-bias weighted least squares estimator, and we find...

  17. Operational modal analysis by updating autoregressive model

    Science.gov (United States)

    Vu, V. H.; Thomas, M.; Lakis, A. A.; Marcouiller, L.

    2011-04-01

    This paper presents improvements of a multivariable autoregressive (AR) model for applications in operational modal analysis considering simultaneously the temporal response data of multi-channel measurements. The parameters are estimated by using the least squares method via the implementation of the QR factorization. A new noise rate-based factor called the Noise rate Order Factor (NOF) is introduced for use in the effective selection of model order and noise rate estimation. For the selection of structural modes, an orderwise criterion called the Order Modal Assurance Criterion (OMAC) is used, based on the correlation of mode shapes computed from two successive orders. Specifically, the algorithm is updated with respect to model order from a small value to produce a cost-effective computation. Furthermore, the confidence intervals of each natural frequency, damping ratio and mode shapes are also computed and evaluated with respect to model order and noise rate. This method is thus very effective for identifying the modal parameters in case of ambient vibrations dealing with modern output-only modal analysis. Simulations and discussions on a steel plate structure are presented, and the experimental results show good agreement with the finite element analysis.

  18. Modeling non-Gaussian time-varying vector autoregressive process

    Data.gov (United States)

    National Aeronautics and Space Administration — We present a novel and general methodology for modeling time-varying vector autoregressive processes which are widely used in many areas such as modeling of chemical...

  19. Testing the Conditional Mean Function of Autoregressive Conditional Duration Models

    DEFF Research Database (Denmark)

    Hautsch, Nikolaus

    function. The dynamic properties of the model as well as an assessment of the estimation quality is investigated in a Monte Carlo study. It is illustrated that the model is a useful approach to estimate conditional failure probabilities based on (persistent) serial dependent duration data which might......This paper proposes a dynamic proportional hazard (PH) model with non-specified baseline hazard for the modelling of autoregressive duration processes. A categorization of the durations allows us to reformulate the PH model as an ordered response model based on extreme value distributed errors....... In order to capture persistent serial dependence in the duration process, we extend the model by an observation driven ARMA dynamic based on generalized errors. We illustrate the maximum likelihood estimation of both the model parameters and discrete points of the underlying unspecified baseline survivor...

  20. Poisson Autoregression

    DEFF Research Database (Denmark)

    Fokianos, Konstantinos; Rahbek, Anders Christian; Tjøstheim, Dag

    2009-01-01

    In this article we consider geometric ergodicity and likelihood-based inference for linear and nonlinear Poisson autoregression. In the linear case, the conditional mean is linked linearly to its past values, as well as to the observed values of the Poisson process. This also applies...... to the conditional variance, making possible interpretation as an integer-valued generalized autoregressive conditional heteroscedasticity process. In a nonlinear conditional Poisson model, the conditional mean is a nonlinear function of its past values and past observations. As a particular example, we consider...... an exponential autoregressive Poisson model for time series. Under geometric ergodicity, the maximum likelihood estimators are shown to be asymptotically Gaussian in the linear model. In addition, we provide a consistent estimator of their asymptotic covariance matrix. Our approach to verifying geometric...

  1. A complex autoregressive model and application to monthly temperature forecasts

    Directory of Open Access Journals (Sweden)

    X. Gu

    2005-11-01

    Full Text Available A complex autoregressive model was established based on the mathematic derivation of the least squares for the complex number domain which is referred to as the complex least squares. The model is different from the conventional way that the real number and the imaginary number are separately calculated. An application of this new model shows a better forecast than forecasts from other conventional statistical models, in predicting monthly temperature anomalies in July at 160 meteorological stations in mainland China. The conventional statistical models include an autoregressive model, where the real number and the imaginary number are separately disposed, an autoregressive model in the real number domain, and a persistence-forecast model.

  2. Clustering diagnosis of rolling element bearing fault based on integrated Autoregressive/Autoregressive Conditional Heteroscedasticity model

    Science.gov (United States)

    Wang, Guofeng; Liu, Chang; Cui, Yinhu

    2012-09-01

    Feature extraction plays an important role in the clustering analysis. In this paper an integrated Autoregressive (AR)/Autoregressive Conditional Heteroscedasticity (ARCH) model is proposed to characterize the vibration signal and the model coefficients are adopted as feature vectors to realize clustering diagnosis of rolling element bearings. The main characteristic is that the AR item and ARCH item are interrelated with each other so that it can depict the excess kurtosis and volatility clustering information in the vibration signal more accurately in comparison with two-stage AR/ARCH model. To testify the correctness, four kinds of bearing signals are adopted for parametric modeling by using the integrated and two-stage AR/ARCH model. The variance analysis of the model coefficients shows that the integrated AR/ARCH model can get more concentrated distribution. Taking these coefficients as feature vectors, K means based clustering is utilized to realize the automatic classification of bearing fault status. The results show that the proposed method can get more accurate results in comparison with two-stage model and discrete wavelet decomposition.

  3. Likelihood Inference for a Nonstationary Fractional Autoregressive Model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    This paper discusses model based inference in an autoregressive model for fractional processes based on the Gaussian likelihood. The model allows for the process to be fractional of order d or d - b; where d = b > 1/2 are parameters to be estimated. We model the data X¿, ..., X¿ given the initial...

  4. Modelling cointegration in the vector autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren

    2000-01-01

    A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends are defined. The statistical model for cointegrated I(1) variables is defined, and it is shown how hypotheses on the cointegrating...... relations can be estimated under suitable identification conditions. The asymptotic theory is briefly mentioned and a few economic applications of the cointegration model are indicated....

  5. Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity

    Directory of Open Access Journals (Sweden)

    Isao Ishida

    2015-01-01

    Full Text Available We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor’s 500 (S&P 500 and several other indices, we obtained good performance using these models in an out-of-sample forecasting exercise compared with the forecasts obtained based on the usual linear heterogeneous autoregressive and other models of realized volatility.

  6. An autoregressive growth model for longitudinal item analysis.

    Science.gov (United States)

    Jeon, Minjeong; Rabe-Hesketh, Sophia

    2016-09-01

    A first-order autoregressive growth model is proposed for longitudinal binary item analysis where responses to the same items are conditionally dependent across time given the latent traits. Specifically, the item response probability for a given item at a given time depends on the latent trait as well as the response to the same item at the previous time, or the lagged response. An initial conditions problem arises because there is no lagged response at the initial time period. We handle this problem by adapting solutions proposed for dynamic models in panel data econometrics. Asymptotic and finite sample power for the autoregressive parameters are investigated. The consequences of ignoring local dependence and the initial conditions problem are also examined for data simulated from a first-order autoregressive growth model. The proposed methods are applied to longitudinal data on Korean students' self-esteem.

  7. Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model based on the conditional Gaussian likelihood. The model allows the process X(t) to be fractional of order d and cofractional of order d-b; that is, there exist vectors ß for which ß...

  8. CICAAR - Convolutive ICA with an Auto-Regressive Inverse Model

    DEFF Research Database (Denmark)

    Dyrholm, Mads; Hansen, Lars Kai

    2004-01-01

    We invoke an auto-regressive IIR inverse model for convolutive ICA and derive expressions for the likelihood and its gradient. We argue that optimization will give a stable inverse. When there are more sensors than sources the mixing model parameters are estimated in a second step by least squares...

  9. Least squares estimation in a simple random coefficient autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Lange, Theis

    2013-01-01

    The question we discuss is whether a simple random coefficient autoregressive model with infinite variance can create the long swings, or persistence, which are observed in many macroeconomic variables. The model is defined by yt=stρyt−1+εt,t=1,…,n, where st is an i.i.d. binary variable with p=P(...

  10. Nonlinear autoregressive models with heavy-tailed innovation

    Institute of Scientific and Technical Information of China (English)

    JIN; Yang; AN; Hongzhi

    2005-01-01

    In this paper, we discuss the relationship between the stationary marginal tail probability and the innovation's tail probability of nonlJnear autoregressive models. We show that under certain conditions that ensure the stationarity and ergodicity, one dimension stationary marginal distribution has the heavy-tailed probability property with the same index as that of the innovation's tail probability.

  11. Testing exact rational expectations in cointegrated vector autoregressive models

    DEFF Research Database (Denmark)

    Johansen, Søren; Swensen, Anders Rygh

    1999-01-01

    This paper considers the testing of restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables. If the rational expectations involve one-step-ahead observations only and the coefficients are known, an explicit parameterization...

  12. Temporal aggregation in first order cointegrated vector autoregressive models

    DEFF Research Database (Denmark)

    La Cour, Lisbeth Funding; Milhøj, Anders

    of aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline...

  13. The cointegrated vector autoregressive model with general deterministic terms

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model X(t)= Z(t) + Y(t), where Z(t) belongs to a large class...

  14. To center or not to center? Investigating inertia with a multilevel autoregressive model

    Directory of Open Access Journals (Sweden)

    Ellen L. Hamaker

    2015-01-01

    Full Text Available Whether level 1 predictors should be centered per cluster has received considerable attention in the multilevel literature. While most agree that there is no one preferred approach, it has also been argued that cluster mean centering is desirable when the within-cluster slope and the between-cluster slope are expected to deviate, and the main interest is in the within-cluster slope. However, we show in a series of simulations that if one has a multilevel autoregressive model in which the level 1 predictor is the lagged outcome variable (i.e., the outcome variable at the previous occasion, cluster mean centering will in general lead to a downward bias in the parameter estimate of the within-cluster slope (i.e., the autoregressive relationship. This is particularly relevant if the main question is whether there is on average an autoregressive effect. Nonetheless, we show that if the main interest is in estimating the effect of a level 2 predictor on the autoregressive parameter (i.e., a cross-level interaction, cluster mean centering should be preferred over other forms of centering. Hence, researchers should be clear on what is considered the main goal of their study, and base their choice of centering method on this when using a multilevel autoregressive model.

  15. Poisson Autoregression

    DEFF Research Database (Denmark)

    Fokianos, Konstantinos; Rahbæk, Anders; Tjøstheim, Dag

    This paper considers geometric ergodicity and likelihood based inference for linear and nonlinear Poisson autoregressions. In the linear case the conditional mean is linked linearly to its past values as well as the observed values of the Poisson process. This also applies to the conditional...... variance, making an interpretation as an integer valued GARCH process possible. In a nonlinear conditional Poisson model, the conditional mean is a nonlinear function of its past values and a nonlinear function of past observations. As a particular example an exponential autoregressive Poisson model...... for time series is considered. Under geometric ergodicity the maximum likelihood estimators of the parameters are shown to be asymptotically Gaussian in the linear model. In addition we provide a consistent estimator of their asymptotic covariance matrix. Our approach to verifying geometric ergodicity...

  16. Single-Index Additive Vector Autoregressive Time Series Models

    KAUST Repository

    LI, YEHUA

    2009-09-01

    We study a new class of nonlinear autoregressive models for vector time series, where the current vector depends on single-indexes defined on the past lags and the effects of different lags have an additive form. A sufficient condition is provided for stationarity of such models. We also study estimation of the proposed model using P-splines, hypothesis testing, asymptotics, selection of the order of the autoregression and of the smoothing parameters and nonlinear forecasting. We perform simulation experiments to evaluate our model in various settings. We illustrate our methodology on a climate data set and show that our model provides more accurate yearly forecasts of the El Niño phenomenon, the unusual warming of water in the Pacific Ocean. © 2009 Board of the Foundation of the Scandinavian Journal of Statistics.

  17. Sparse representation based image interpolation with nonlocal autoregressive modeling.

    Science.gov (United States)

    Dong, Weisheng; Zhang, Lei; Lukac, Rastislav; Shi, Guangming

    2013-04-01

    Sparse representation is proven to be a promising approach to image super-resolution, where the low-resolution (LR) image is usually modeled as the down-sampled version of its high-resolution (HR) counterpart after blurring. When the blurring kernel is the Dirac delta function, i.e., the LR image is directly down-sampled from its HR counterpart without blurring, the super-resolution problem becomes an image interpolation problem. In such cases, however, the conventional sparse representation models (SRM) become less effective, because the data fidelity term fails to constrain the image local structures. In natural images, fortunately, many nonlocal similar patches to a given patch could provide nonlocal constraint to the local structure. In this paper, we incorporate the image nonlocal self-similarity into SRM for image interpolation. More specifically, a nonlocal autoregressive model (NARM) is proposed and taken as the data fidelity term in SRM. We show that the NARM-induced sampling matrix is less coherent with the representation dictionary, and consequently makes SRM more effective for image interpolation. Our extensive experimental results demonstrate that the proposed NARM-based image interpolation method can effectively reconstruct the edge structures and suppress the jaggy/ringing artifacts, achieving the best image interpolation results so far in terms of PSNR as well as perceptual quality metrics such as SSIM and FSIM.

  18. Beef Supply Response Under Uncertainty: An Autoregressive Distributed Lag Model

    OpenAIRE

    Mbaga, Msafiri Daudi; Coyle, Barry T.

    2003-01-01

    This is the first econometric study of dynamic beef supply response to incorporate risk aversion or, more specifically, price variance. Autoregressive distributed lag (ADL) models are estimated for cow-calf and feedlot operations using aggregate data for Alberta. In all cases, output price variance has a negative impact on output supply and investment. Moreover, the impacts of expected price on supply response are greater in magnitude and significance than in risk-neutral models.

  19. Nonlinear models for autoregressive conditional heteroskedasticity

    DEFF Research Database (Denmark)

    Teräsvirta, Timo

    This paper contains a brief survey of nonlinear models of autore- gressive conditional heteroskedasticity. The models in question are parametric nonlinear extensions of the original model by Engle (1982). After presenting the individual models, linearity testing and parameter estimation...... are discussed. Forecasting volatility with nonlinear models is considered. Finally, parametric nonlinear models based on multi- plicative decomposition of the variance receive attention....

  20. Likelihood inference for a nonstationary fractional autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Ørregård Nielsen, Morten

    2010-01-01

    the conditional Gaussian likelihood and for the probability analysis we also condition on initial values but assume that the errors in the autoregressive model are i.i.d. with suitable moment conditions. We analyze the conditional likelihood and its derivatives as stochastic processes in the parameters, including...... d and b, and prove that they converge in distribution. We use the results to prove consistency of the maximum likelihood estimator for d,b in a large compact subset of {1/2...

  1. Sparse multivariate autoregressive modeling for mild cognitive impairment classification.

    Science.gov (United States)

    Li, Yang; Wee, Chong-Yaw; Jie, Biao; Peng, Ziwen; Shen, Dinggang

    2014-07-01

    Brain connectivity network derived from functional magnetic resonance imaging (fMRI) is becoming increasingly prevalent in the researches related to cognitive and perceptual processes. The capability to detect causal or effective connectivity is highly desirable for understanding the cooperative nature of brain network, particularly when the ultimate goal is to obtain good performance of control-patient classification with biological meaningful interpretations. Understanding directed functional interactions between brain regions via brain connectivity network is a challenging task. Since many genetic and biomedical networks are intrinsically sparse, incorporating sparsity property into connectivity modeling can make the derived models more biologically plausible. Accordingly, we propose an effective connectivity modeling of resting-state fMRI data based on the multivariate autoregressive (MAR) modeling technique, which is widely used to characterize temporal information of dynamic systems. This MAR modeling technique allows for the identification of effective connectivity using the Granger causality concept and reducing the spurious causality connectivity in assessment of directed functional interaction from fMRI data. A forward orthogonal least squares (OLS) regression algorithm is further used to construct a sparse MAR model. By applying the proposed modeling to mild cognitive impairment (MCI) classification, we identify several most discriminative regions, including middle cingulate gyrus, posterior cingulate gyrus, lingual gyrus and caudate regions, in line with results reported in previous findings. A relatively high classification accuracy of 91.89 % is also achieved, with an increment of 5.4 % compared to the fully-connected, non-directional Pearson-correlation-based functional connectivity approach.

  2. Image restoration using 2D autoregressive texture model and structure curve construction

    Science.gov (United States)

    Voronin, V. V.; Marchuk, V. I.; Petrosov, S. P.; Svirin, I.; Agaian, S.; Egiazarian, K.

    2015-05-01

    In this paper an image inpainting approach based on the construction of a composite curve for the restoration of the edges of objects in an image using the concepts of parametric and geometric continuity is presented. It is shown that this approach allows to restore the curved edges and provide more flexibility for curve design in damaged image by interpolating the boundaries of objects by cubic splines. After edge restoration stage, a texture restoration using 2D autoregressive texture model is carried out. The image intensity is locally modeled by a first spatial autoregressive model with support in a strongly causal prediction region on the plane. Model parameters are estimated by Yule-Walker method. Several examples considered in this paper show the effectiveness of the proposed approach for large objects removal as well as recovery of small regions on several test images.

  3. Integer Valued Autoregressive Models for Tipping Bucket Rainfall Measurements

    DEFF Research Database (Denmark)

    Thyregod, Peter; Carstensen, Niels Jacob; Madsen, Henrik

    1999-01-01

    A new method for modelling the dynamics of rain sampled by a tipping bucket rain gauge is proposed. The considered models belong to the class of integer valued autoregressive processes. The models take the autocorelation and discrete nature of the data into account. A first order, a second order...... and a threshold model are presented together with methods to estimate the parameters of each model. The models are demonstrated to provide a good description of dt from actual rain events requiring only two to four parameters....

  4. Vector autoregression, structural equation modeling, and their synthesis in neuroimaging data analysis.

    Science.gov (United States)

    Chen, Gang; Glen, Daniel R; Saad, Ziad S; Paul Hamilton, J; Thomason, Moriah E; Gotlib, Ian H; Cox, Robert W

    2011-12-01

    Vector autoregression (VAR) and structural equation modeling (SEM) are two popular brain-network modeling tools. VAR, which is a data-driven approach, assumes that connected regions exert time-lagged influences on one another. In contrast, the hypothesis-driven SEM is used to validate an existing connectivity model where connected regions have contemporaneous interactions among them. We present the two models in detail and discuss their applicability to FMRI data, and their interpretational limits. We also propose a unified approach that models both lagged and contemporaneous effects. The unifying model, structural vector autoregression (SVAR), may improve statistical and explanatory power, and avoid some prevalent pitfalls that can occur when VAR and SEM are utilized separately.

  5. The excitation and characteristic frequency of the long-period volcanic event: An approach based on an inhomogeneous autoregressive model of a linear dynamic system

    Science.gov (United States)

    Nakano, M.; Kumagai, H.; Kumazawa, M.; Yamaoka, K.; Chouet, B.A.

    1998-01-01

    We present a method to quantify the source excitation function and characteristic frequencies of long-period volcanic events. The method is based on an inhomogeneous autoregressive (AR) model of a linear dynamic system, in which the excitation is assumed to be a time-localized function applied at the beginning of the event. The tail of an exponentially decaying harmonic waveform is used to determine the characteristic complex frequencies of the event by the Sompi method. The excitation function is then derived by operating an AR filter constructed from the characteristic frequencies to the entire seismogram of the event, including the inhomogeneous part of the signal. We apply this method to three long-period events at Kusatsu-Shirane Volcano, central Japan, whose waveforms display simple decaying monochromatic oscillations except for the beginning of the events. We recover time-localized excitation functions lasting roughly 1 s at the start of each event and find that the estimated functions are very similar to each other at all the stations of the seismic network for each event. The phases of the characteristic oscillations referred to the estimated excitation function fall within a narrow range for almost all the stations. These results strongly suggest that the excitation and mode of oscillation are both dominated by volumetric change components. Each excitation function starts with a pronounced dilatation consistent with a sudden deflation of the volumetric source which may be interpreted in terms of a choked-flow transport mechanism. The frequency and Q of the characteristic oscillation both display a temporal evolution from event to event. Assuming a crack filled with bubbly water as seismic source for these events, we apply the Van Wijngaarden-Papanicolaou model to estimate the acoustic properties of the bubbly liquid and find that the observed changes in the frequencies and Q are consistently explained by a temporal change in the radii of the bubbles

  6. Mixture latent autoregressive models for longitudinal data

    CERN Document Server

    Bartolucci, Francesco; Pennoni, Fulvia

    2011-01-01

    Many relevant statistical and econometric models for the analysis of longitudinal data include a latent process to account for the unobserved heterogeneity between subjects in a dynamic fashion. Such a process may be continuous (typically an AR(1)) or discrete (typically a Markov chain). In this paper, we propose a model for longitudinal data which is based on a mixture of AR(1) processes with different means and correlation coefficients, but with equal variances. This model belongs to the class of models based on a continuous latent process, and then it has a natural interpretation in many contexts of application, but it is more flexible than other models in this class, reaching a goodness-of-fit similar to that of a discrete latent process model, with a reduced number of parameters. We show how to perform maximum likelihood estimation of the proposed model by the joint use of an Expectation-Maximisation algorithm and a Newton-Raphson algorithm, implemented by means of recursions developed in the hidden Mark...

  7. MAXIMUM LIKELIHOOD ESTIMATION FOR PERIODIC AUTOREGRESSIVE MOVING AVERAGE MODELS.

    Science.gov (United States)

    Vecchia, A.V.

    1985-01-01

    A useful class of models for seasonal time series that cannot be filtered or standardized to achieve second-order stationarity is that of periodic autoregressive moving average (PARMA) models, which are extensions of ARMA models that allow periodic (seasonal) parameters. An approximation to the exact likelihood for Gaussian PARMA processes is developed, and a straightforward algorithm for its maximization is presented. The algorithm is tested on several periodic ARMA(1, 1) models through simulation studies and is compared to moment estimation via the seasonal Yule-Walker equations. Applicability of the technique is demonstrated through an analysis of a seasonal stream-flow series from the Rio Caroni River in Venezuela.

  8. Planetary Kp index forecast using autoregressive models

    CERN Document Server

    Gonzalez, Arian Ojeda; Odriozola, Siomel Savio; Rosa, Reinaldo Roberto; Mendes, Odim

    2014-01-01

    The geomagnetic Kp index is derived from the K index measurements obtained from thirteen stations located around the Earth geomagnetic latitudes between $48^\\circ$ and $63^\\circ$. This index is processed every three hours, is quasi-logarithmic and estimates the geomagnetic activity. The Kp values fall within a range of 0 to 9 and are organized as a set of 28 discrete values. The data set is important because it is used as one of the many input parameters of magnetospheric and ionospheric models. The objective of this work is to use historical data from the Kp index to develop a methodology to make a prediction in a time interval of at least three hours. Five different models to forecast geomagnetic indices Kp and ap are tested. Time series of values of Kp index from 1932 to 15/12/2012 at 21:00 UT are used as input to the models. The purpose of the model is to predict the three measured values after the last measured value of the Kp index (it means the next 9 hours values). The AR model provides the lowest com...

  9. Optimal hedging with the cointegrated vector autoregressive model

    DEFF Research Database (Denmark)

    Gatarek, Lukasz; Johansen, Søren

    We derive the optimal hedging ratios for a portfolio of assets driven by a Coin- tegrated Vector Autoregressive model (CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that allows for the hedges to be cointegrated...... horizons, the hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite horizon, the hedge ratios shall be equal to the cointegrating vector. The hedge ratios for any intermediate portfolio holding period should be based on the weighted average...

  10. Modeling Monetary Policy Transmission in Acceding Countries : Vector Autoregression Versus Structural Vector Autoregression

    NARCIS (Netherlands)

    Elbourne, A.; de Haan, J.

    2009-01-01

    Using the vector autoregressive methodology, we present estimates of monetary transmission for five new EU member countries in Central and Eastern Europe with more or less flexible exchange rates. We select sample periods to estimate over the longest possible period that can be considered as a singl

  11. Probing turbulence intermittency via Auto-Regressive Moving-Average models

    CERN Document Server

    Faranda, Davide; Dubrulle, Berengere; Daviaud, Francois

    2014-01-01

    We suggest a new approach to probing intermittency corrections to the Kolmogorov law in turbulent flows based on the Auto-Regressive Moving-Average modeling of turbulent time series. We introduce a new index $\\Upsilon$ that measures the distance from a Kolmogorov-Obukhov model in the Auto-Regressive Moving-Average models space. Applying our analysis to Particle Image Velocimetry and Laser Doppler Velocimetry measurements in a von K\\'arm\\'an swirling flow, we show that $\\Upsilon$ is proportional to the traditional intermittency correction computed from the structure function. Therefore it provides the same information, using much shorter time series. We conclude that $\\Upsilon$ is a suitable index to reconstruct the spatial intermittency of the dissipation in both numerical and experimental turbulent fields.

  12. Modeling shales and marls reflections by autoregression method

    Science.gov (United States)

    Malik, Umairia; Ching, Dennis Ling Chuan; Daud, Hanita; Januarisma, Vikri

    2016-11-01

    Seismic modeling is pervasive in exploring the subsurface structure. The propagation of elastic waves in homogenous medium has to be modeled to create synthetic seismograms. A numerical solution of partial differential equations describes the propagation phenomenon in elastic medium under the initial and boundary condition that is Clayton Engquist (CE). The subsurface discontinuities like fractures effect the seismic reflections that are used for subsurface imaging. A fractured velocity model with shales and marls sedimentary rocks is built and common depth point (CDP) seismograms with single shot are preprocessed by automatic gain control. The subsurface reflections are modeled by using the first-order autoregressive (AR(1)) model. A comparison of synthetic and real data AR model is made on the basis of average reflectivity, R2 and means square error (MSE). The real data has smaller average reflectivity, -1.80e-10, 93.966% explained variation i.e. R2 and 1.71e-07 minimum MSE.

  13. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)

    DEFF Research Database (Denmark)

    Agosto, Arianna; Cavaliere, Guiseppe; Kristensen, Dennis;

    in the analysis of the asympotic properties of the maximum-likelihood estimators of the models. The PARX class of models is used to analyse the time series properties of monthly corporate defaults in the US in the period 1982-2011 using financial and economic variables as exogeneous covariates. Results show......We develop a class of Poisson autoregressive models with additional covariates (PARX) that can be used to model and forecast time series of counts. We establish the time series properties of the models, including conditions for stationarity and existence of moments. These results are in turn used...... that our model is able to capture the time series dynamics of corporate defaults well, including the well-known default counts clustering found in data. Moreover, we find that while in general current defaults do indeed affect the probability of other firms defaulting in the future, in recent years...

  14. Bias-Correction in Vector Autoregressive Models: A Simulation Study

    Directory of Open Access Journals (Sweden)

    Tom Engsted

    2014-03-01

    Full Text Available We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation study, we show that when the model is stationary this simple bias formula compares very favorably to bootstrap bias-correction, both in terms of bias and mean squared error. In non-stationary models, the analytical bias formula performs noticeably worse than bootstrapping. Both methods yield a notable improvement over ordinary least squares. We pay special attention to the risk of pushing an otherwise stationary model into the non-stationary region of the parameter space when correcting for bias. Finally, we consider a recently proposed reduced-bias weighted least squares estimator, and we find that it compares very favorably in non-stationary models.

  15. Autoregressive modelling for rolling element bearing fault diagnosis

    Science.gov (United States)

    Al-Bugharbee, H.; Trendafilova, I.

    2015-07-01

    In this study, time series analysis and pattern recognition analysis are used effectively for the purposes of rolling bearing fault diagnosis. The main part of the suggested methodology is the autoregressive (AR) modelling of the measured vibration signals. This study suggests the use of a linear AR model applied to the signals after they are stationarized. The obtained coefficients of the AR model are further used to form pattern vectors which are in turn subjected to pattern recognition for differentiating among different faults and different fault sizes. This study explores the behavior of the AR coefficients and their changes with the introduction and the growth of different faults. The idea is to gain more understanding about the process of AR modelling for roller element bearing signatures and the relation of the coefficients to the vibratory behavior of the bearings and their condition.

  16. Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    2012-01-01

    We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model with a restricted constant term, ¿, based on the Gaussian likelihood conditional on initial values. The model nests the I(d) VAR model. We give conditions on the parameters......likelihood estimators. To this end we prove weak convergence of the conditional likelihood as a continuous stochastic...... process in the parameters when errors are i.i.d. with suitable moment conditions and initial values are bounded. When the limit is deterministic this implies uniform convergence in probability of the conditional likelihood function. If the true value b0>1/2, we prove that the limit distribution of (ß...

  17. Likelihood Inference for a Nonstationary Fractional Autoregressive Model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    values Xº-n, n = 0, 1, ..., under the assumption that the errors are i.i.d. Gaussian. We consider the likelihood and its derivatives as stochastic processes in the parameters, and prove that they converge in distribution when the errors are i.i.d. with suitable moment conditions and the initial values......This paper discusses model based inference in an autoregressive model for fractional processes based on the Gaussian likelihood. The model allows for the process to be fractional of order d or d - b; where d = b > 1/2 are parameters to be estimated. We model the data X¿, ..., X¿ given the initial...... are bounded. We use this to prove existence and consistency of the local likelihood estimator, and to ?find the asymptotic distribution of the estimators and the likelihood ratio test of the associated fractional unit root hypothesis, which contains the fractional Brownian motion of type II...

  18. Likelihood inference for a nonstationary fractional autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    values X0-n, n = 0, 1,...,under the assumption that the errors are i.i.d. Gaussian. We consider the likelihood and its derivatives as stochastic processes in the parameters, and prove that they converge in distribution when the errors are i.i.d. with suitable moment conditions and the initial values......This paper discusses model based inference in an autoregressive model for fractional processes based on the Gaussian likelihood. The model allows for the process to be fractional of order d or d-b; where d ≥ b > 1/2 are parameters to be estimated. We model the data X1,...,XT given the initial...... are bounded. We use this to prove existence and consistency of the local likelihood estimator, and to find the asymptotic distribution of the estimators and the likelihood ratio test of the associated fractional unit root hypothesis, which contains the fractional Brownian motion of type II....

  19. Implementing Modifed Burg Algorithms in Multivariate Subset Autoregressive Modeling

    Directory of Open Access Journals (Sweden)

    A. Alexandre Trindade

    2003-02-01

    Full Text Available The large number of parameters in subset vector autoregressive models often leads one to procure fast, simple, and efficient alternatives or precursors to maximum likelihood estimation. We present the solution of the multivariate subset Yule-Walker equations as one such alternative. In recent work, Brockwell, Dahlhaus, and Trindade (2002, show that the Yule-Walker estimators can actually be obtained as a special case of a general recursive Burg-type algorithm. We illustrate the structure of this Algorithm, and discuss its implementation in a high-level programming language. Applications of the Algorithm in univariate and bivariate modeling are showcased in examples. Univariate and bivariate versions of the Algorithm written in Fortran 90 are included in the appendix, and their use illustrated.

  20. Stator Fault Detection in Induction Motors by Autoregressive Modeling

    Directory of Open Access Journals (Sweden)

    Francisco M. Garcia-Guevara

    2016-01-01

    Full Text Available This study introduces a novel methodology for early detection of stator short circuit faults in induction motors by using autoregressive (AR model. The proposed algorithm is based on instantaneous space phasor (ISP module of stator currents, which are mapped to α-β stator-fixed reference frame; then, the module is obtained, and the coefficients of the AR model for such module are estimated and evaluated by order selection criterion, which is used as fault signature. For comparative purposes, a spectral analysis of the ISP module by Discrete Fourier Transform (DFT is performed; a comparison of both methodologies is obtained. To demonstrate the suitability of the proposed methodology for detecting and quantifying incipient short circuit stator faults, an induction motor was altered to induce different-degree fault scenarios during experimentation.

  1. Autoregressive model selection with simultaneous sparse coefficient estimation

    CERN Document Server

    Sang, Hailin

    2011-01-01

    In this paper we propose a sparse coefficient estimation procedure for autoregressive (AR) models based on penalized conditional maximum likelihood. The penalized conditional maximum likelihood estimator (PCMLE) thus developed has the advantage of performing simultaneous coefficient estimation and model selection. Mild conditions are given on the penalty function and the innovation process, under which the PCMLE satisfies a strong consistency, local $N^{-1/2}$ consistency, and oracle property, respectively, where N is sample size. Two penalty functions, least absolute shrinkage and selection operator (LASSO) and smoothly clipped average deviation (SCAD), are considered as examples, and SCAD is shown to have better performances than LASSO. A simulation study confirms our theoretical results. At the end, we provide an application of our method to a historical price data of the US Industrial Production Index for consumer goods, and the result is very promising.

  2. Some Identification Problems in the Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Johansen, Søren

    2010-01-01

    The paper analyses some identification problems in the cointegrated vector autoregressive model. A criteria for identification by linear restrictions on individual relations is given. The asymptotic distribution of the estimators of a and ß is derived when they are identified by linear restrictions...... on ß , and when they are identified by linear restrictions on a . It it shown that, in the latter case, a component of is asymptotically Gaussian. Finally we discuss identification of shocks by introducing the contemporaneous and permanent effect of a shock and the distinction between permanent...... and transitory shocks, which allows one to identify permanent shocks from the long-run variance and transitory shocks from the short-run variance....

  3. Parameter estimation in a spatial unit root autoregressive model

    CERN Document Server

    Baran, Sándor

    2011-01-01

    Spatial autoregressive model $X_{k,\\ell}=\\alpha X_{k-1,\\ell}+\\beta X_{k,\\ell-1}+\\gamma X_{k-1,\\ell-1}+\\epsilon_{k,\\ell}$ is investigated in the unit root case, that is when the parameters are on the boundary of the domain of stability that forms a tetrahedron with vertices $(1,1,-1), \\ (1,-1,1),\\ (-1,1,1)$ and $(-1,-1,-1)$. It is shown that the limiting distribution of the least squares estimator of the parameters is normal and the rate of convergence is $n$ when the parameters are in the faces or on the edges of the tetrahedron, while on the vertices the rate is $n^{3/2}$.

  4. Identification of Input Nonlinear Control Autoregressive Systems Using Fractional Signal Processing Approach

    Directory of Open Access Journals (Sweden)

    Naveed Ishtiaq Chaudhary

    2013-01-01

    Full Text Available A novel algorithm is developed based on fractional signal processing approach for parameter estimation of input nonlinear control autoregressive (INCAR models. The design scheme consists of parameterization of INCAR systems to obtain linear-in-parameter models and to use fractional least mean square algorithm (FLMS for adaptation of unknown parameter vectors. The performance analyses of the proposed scheme are carried out with third-order Volterra least mean square (VLMS and kernel least mean square (KLMS algorithms based on convergence to the true values of INCAR systems. It is found that the proposed FLMS algorithm provides most accurate and convergent results than those of VLMS and KLMS under different scenarios and by taking the low-to-high signal-to-noise ratio.

  5. Identification of Input Nonlinear Control Autoregressive Systems Using Fractional Signal Processing Approach

    Science.gov (United States)

    Chaudhary, Naveed Ishtiaq; Raja, Muhammad Asif Zahoor; Khan, Junaid Ali; Aslam, Muhammad Saeed

    2013-01-01

    A novel algorithm is developed based on fractional signal processing approach for parameter estimation of input nonlinear control autoregressive (INCAR) models. The design scheme consists of parameterization of INCAR systems to obtain linear-in-parameter models and to use fractional least mean square algorithm (FLMS) for adaptation of unknown parameter vectors. The performance analyses of the proposed scheme are carried out with third-order Volterra least mean square (VLMS) and kernel least mean square (KLMS) algorithms based on convergence to the true values of INCAR systems. It is found that the proposed FLMS algorithm provides most accurate and convergent results than those of VLMS and KLMS under different scenarios and by taking the low-to-high signal-to-noise ratio. PMID:23853538

  6. Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications

    DEFF Research Database (Denmark)

    Teräsvirta, Timo; Yang, Yukai

    We consider a nonlinear vector model called the logistic vector smooth transition autoregressive model. The bivariate single-transition vector smooth transition regression model of Camacho (2004) is generalised to a multivariate and multitransition one. A modelling strategy consisting...

  7. Ozone Concentration Prediction via Spatiotemporal Autoregressive Model With Exogenous Variables

    Science.gov (United States)

    Kamoun, W.; Senoussi, R.

    2009-04-01

    Forecast of environmental variables are nowadays of main concern for public health or agricultural management. In this context a large literature is devoted to spatio-temporal modelling of these variables using different statistical approaches. However, most of studies ignored the potential contribution of local (e.g. meteorological and/or geographical) covariables as well as the dynamical characteristics of observations. In this study, we present a spatiotemporal short term forecasting model for ozone concentration based on regularly observed covariables in predefined geographical sites. Our driving system simply combines a multidimensional second order autoregressive structured process with a linear regression model over influent exogenous factors and reads as follows: ‘2 ‘q j Z (t) = A (Î&,cedil;D )Ã- [ αiZ(t- i)]+ B (Î&,cedil;D )Ã- [ βjX (t)]+ ɛ(t) i=1 j=1 Z(t)=(Z1(t),…,Zn(t)) represents the vector of ozone concentration at time t of the n geographical sites, whereas Xj(t)=(X1j(t),…,Xnj(t)) denotes the jth exogenous variable observed over these sites. The nxn matrix functions A and B account for the spatial relationships between sites through the inter site distance matrix D and a vector parameter Î&.cedil; Multidimensional white noise ɛ is assumed to be Gaussian and spatially correlated but temporally independent. A covariance structure of Z that takes account of noise spatial dependences is deduced under a stationary hypothesis and then included in the likelihood function. Statistical model and estimation procedure: Contrarily to the widely used choice of a {0,1}-valued neighbour matrix A, we put forward two more natural choices of exponential or power decay. Moreover, the model revealed enough stable to readily accommodate the crude observations without the usual tedious and somewhat arbitrarily variable transformations. Data set and preliminary analysis: In our case, ozone variable represents here the daily maximum ozone

  8. Trans-dimensional inversion of microtremor array dispersion data with hierarchical autoregressive error models

    Science.gov (United States)

    Dettmer, Jan; Molnar, Sheri; Steininger, Gavin; Dosso, Stan E.; Cassidy, John F.

    2012-02-01

    This paper applies a general trans-dimensional Bayesian inference methodology and hierarchical autoregressive data-error models to the inversion of microtremor array dispersion data for shear wave velocity (vs) structure. This approach accounts for the limited knowledge of the optimal earth model parametrization (e.g. the number of layers in the vs profile) and of the data-error statistics in the resulting vs parameter uncertainty estimates. The assumed earth model parametrization influences estimates of parameter values and uncertainties due to different parametrizations leading to different ranges of data predictions. The support of the data for a particular model is often non-unique and several parametrizations may be supported. A trans-dimensional formulation accounts for this non-uniqueness by including a model-indexing parameter as an unknown so that groups of models (identified by the indexing parameter) are considered in the results. The earth model is parametrized in terms of a partition model with interfaces given over a depth-range of interest. In this work, the number of interfaces (layers) in the partition model represents the trans-dimensional model indexing. In addition, serial data-error correlations are addressed by augmenting the geophysical forward model with a hierarchical autoregressive error model that can account for a wide range of error processes with a small number of parameters. Hence, the limited knowledge about the true statistical distribution of data errors is also accounted for in the earth model parameter estimates, resulting in more realistic uncertainties and parameter values. Hierarchical autoregressive error models do not rely on point estimates of the model vector to estimate data-error statistics, and have no requirement for computing the inverse or determinant of a data-error covariance matrix. This approach is particularly useful for trans-dimensional inverse problems, as point estimates may not be representative of the

  9. A fuzzy-autoregressive model of daily river flows

    Science.gov (United States)

    Greco, Roberto

    2012-06-01

    A model for the identification of daily river flows has been developed, consisting of the combination of an autoregressive model with a fuzzy inference system. The AR model is devoted to the identification of base flow, supposed to be described by linear laws. The fuzzy model identifies the surface runoff, by applying a small set of linguistic statements, deriving from the knowledge of the physical features of the nonlinear rainfall-runoff transformation, to the inflow entering the river basin. The model has been applied to the identification of the daily flow series of river Volturno at Cancello-Arnone (Southern Italy), with a drainage basin of around 5560 km2, observed between 1970 and 1974. The inflow was estimated on the basis of daily precipitations registered during the same years at six rain gauges located throughout the basin. The first two years were used for model training, the remaining three for the validation. The obtained results show that the proposed model provides good predictions of either low river flows or high floods, although the analysis of residuals, which do not turn out to be a white noise, indicates that the cause and effect relationship between rainfall and runoff is not completely identified by the model.

  10. Modeling of uncertain spectra through stochastic autoregressive systems

    Science.gov (United States)

    Wang, Yiwei; Wang, X. Q.; Mignolet, Marc P.; Yang, Shuchi; Chen, P. C.

    2016-03-01

    The focus of this investigation is on the formulation and validation of a modeling strategy of the uncertainty that may exist on the specification of the power spectral density of scalar stationary processes and on the spectral matrices of vector ones. These processes may, for example, be forces on a structure originating from natural phenomena which are coarsely modeled (i.e., with epistemic uncertainty) or are specified by parameters unknown (i.e., with aleatoric uncertainty) in the application considered. The propagation of the uncertainty, e.g., to the response of the structure, may be carried out provided that a stochastic model of the uncertainty in the power spectral density/matrix is available from which admissible samples can be efficiently generated. Such a stochastic model will be developed here through an autoregressive-based parameterization of the specified baseline power spectral density/matrix and of its random samples. Autoregressive (AR) models are particularly well suited for this parametrization since their spectra are known to converge to a broad class of spectra (all non-pathological spectra) as the AR order increases. Note that the characterization of these models is not achieved directly in terms of their coefficients but rather in terms of their reflection coefficients which lie (or their eigenvalues in the vector process case) in the domain [0,1) as a necessary and sufficient condition for stability. Maximum entropy concepts are then employed to formulate the distribution of the reflection coefficients in both scalar and vector process case leading to a small set of hyperparameters of the uncertain model. Depending on the information available, these hyperparameters could either be varied in a parametric study format to assess the effects of uncertainty or could be identified, e.g., in a maximum likelihood format, from observed data. The validation and assessment of these concepts is finally achieved on several examples including the

  11. On the maximum-entropy/autoregressive modeling of time series

    Science.gov (United States)

    Chao, B. F.

    1984-01-01

    The autoregressive (AR) model of a random process is interpreted in the light of the Prony's relation which relates a complex conjugate pair of poles of the AR process in the z-plane (or the z domain) on the one hand, to the complex frequency of one complex harmonic function in the time domain on the other. Thus the AR model of a time series is one that models the time series as a linear combination of complex harmonic functions, which include pure sinusoids and real exponentials as special cases. An AR model is completely determined by its z-domain pole configuration. The maximum-entropy/autogressive (ME/AR) spectrum, defined on the unit circle of the z-plane (or the frequency domain), is nothing but a convenient, but ambiguous visual representation. It is asserted that the position and shape of a spectral peak is determined by the corresponding complex frequency, and the height of the spectral peak contains little information about the complex amplitude of the complex harmonic functions.

  12. Dealing with Multiple Solutions in Structural Vector Autoregressive Models.

    Science.gov (United States)

    Beltz, Adriene M; Molenaar, Peter C M

    2016-01-01

    Structural vector autoregressive models (VARs) hold great potential for psychological science, particularly for time series data analysis. They capture the magnitude, direction of influence, and temporal (lagged and contemporaneous) nature of relations among variables. Unified structural equation modeling (uSEM) is an optimal structural VAR instantiation, according to large-scale simulation studies, and it is implemented within an SEM framework. However, little is known about the uniqueness of uSEM results. Thus, the goal of this study was to investigate whether multiple solutions result from uSEM analysis and, if so, to demonstrate ways to select an optimal solution. This was accomplished with two simulated data sets, an empirical data set concerning children's dyadic play, and modifications to the group iterative multiple model estimation (GIMME) program, which implements uSEMs with group- and individual-level relations in a data-driven manner. Results revealed multiple solutions when there were large contemporaneous relations among variables. Results also verified several ways to select the correct solution when the complete solution set was generated, such as the use of cross-validation, maximum standardized residuals, and information criteria. This work has immediate and direct implications for the analysis of time series data and for the inferences drawn from those data concerning human behavior.

  13. Likelihood inference for a fractionally cointegrated vector autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model based on the conditional Gaussian likelihood. The model allows the process X_{t} to be fractional of order d and cofractional of order d-b; that is, there exist vectors β for which β......′X_{t} is fractional of order d-b. The parameters d and b satisfy either d≥b≥1/2, d=b≥1/2, or d=d_{0}≥b≥1/2. Our main technical contribution is the proof of consistency of the maximum likelihood estimators on the set 1/2≤b≤d≤d_{1} for any d_{1}≥d_{0}. To this end, we consider the conditional likelihood as a stochastic...... process in the parameters, and prove that it converges in distribution when errors are i.i.d. with suitable moment conditions and initial values are bounded. We then prove that the estimator of β is asymptotically mixed Gaussian and estimators of the remaining parameters are asymptotically Gaussian. We...

  14. Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model based on the conditional Gaussian likelihood. The model allows the process X(t) to be fractional of order d and cofractional of order d-b; that is, there exist vectors ß for which ß......'X(t) is fractional of order d-b. The parameters d and b satisfy either d=b=1/2, d=b=1/2, or d=d0=b=1/2. Our main technical contribution is the proof of consistency of the maximum likelihood estimators on the set 1/2=b=d=d1 for any d1=d0. To this end, we consider the conditional likelihood as a stochastic process...... in the parameters, and prove that it converges in distribution when errors are i.i.d. with suitable moment conditions and initial values are bounded. We then prove that the estimator of ß is asymptotically mixed Gaussian and estimators of the remaining parameters are asymptotically Gaussian. We also find...

  15. A Score Type Test for General Autoregressive Models in Time Series

    Institute of Scientific and Technical Information of China (English)

    Jian-hong Wu; Li-xing Zhu

    2007-01-01

    This paper is devoted to the goodness-of-fit test for the general autoregressive models in time series. By averaging for the weighted residuals, we construct a score type test which is asymptotically standard chi-squared under the null and has some desirable power properties under the alternatives. Specifically, the test is sensitive to alternatives and can detect the alternatives approaching, along a direction, the null at a rate that is arbitrarily close to n-1/2. Furthermore, when the alternatives are not directional, we construct asymptotically distribution-free maximin tests for a large class of alternatives. The performance of the tests is evaluated through simulation studies.

  16. A Note on Parameter Estimations of Panel Vector Autoregressive Models with Intercorrelation

    Institute of Scientific and Technical Information of China (English)

    Jian-hong Wu; Li-xing Zhu; Zai-xing Li

    2009-01-01

    This note considers parameter estimation for panel vector autoregressive models with intercorrela-tion. Conditional least squares estimators are derived and the asymptotic normality is established. A simulation is carried out for illustration.

  17. A revival of the autoregressive distributed lag model in estimating energy demand relationships

    Energy Technology Data Exchange (ETDEWEB)

    Bentzen, J.; Engsted, T.

    1999-07-01

    The findings in the recent energy economics literature that energy economic variables are non-stationary, have led to an implicit or explicit dismissal of the standard autoregressive distribution lag (ARDL) model in estimating energy demand relationships. However, Pesaran and Shin (1997) show that the ARDL model remains valid when the underlying variables are non-stationary, provided the variables are co-integrated. In this paper we use the ARDL approach to estimate a demand relationship for Danish residential energy consumption, and the ARDL estimates are compared to the estimates obtained using co-integration techniques and error-correction models (ECM's). It turns out that both quantitatively and qualitatively, the ARDL approach and the co-integration/ECM approach give very similar results. (au)

  18. Compact and accurate linear and nonlinear autoregressive moving average model parameter estimation using laguerre functions

    DEFF Research Database (Denmark)

    Chon, K H; Cohen, R J; Holstein-Rathlou, N H

    1997-01-01

    A linear and nonlinear autoregressive moving average (ARMA) identification algorithm is developed for modeling time series data. The algorithm uses Laguerre expansion of kernals (LEK) to estimate Volterra-Wiener kernals. However, instead of estimating linear and nonlinear system dynamics via moving...... average models, as is the case for the Volterra-Wiener analysis, we propose an ARMA model-based approach. The proposed algorithm is essentially the same as LEK, but this algorithm is extended to include past values of the output as well. Thus, all of the advantages associated with using the Laguerre...... function remain with our algorithm; but, by extending the algorithm to the linear and nonlinear ARMA model, a significant reduction in the number of Laguerre functions can be made, compared with the Volterra-Wiener approach. This translates into a more compact system representation and makes...

  19. Bias-correction in vector autoregressive models: A simulation study

    DEFF Research Database (Denmark)

    Engsted, Tom; Pedersen, Thomas Quistgaard

    We analyze and compare the properties of various methods for bias-correcting parameter estimates in vector autoregressions. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation study, we show that this simple and...

  20. Self-organising mixture autoregressive model for non-stationary time series modelling.

    Science.gov (United States)

    Ni, He; Yin, Hujun

    2008-12-01

    Modelling non-stationary time series has been a difficult task for both parametric and nonparametric methods. One promising solution is to combine the flexibility of nonparametric models with the simplicity of parametric models. In this paper, the self-organising mixture autoregressive (SOMAR) network is adopted as a such mixture model. It breaks time series into underlying segments and at the same time fits local linear regressive models to the clusters of segments. In such a way, a global non-stationary time series is represented by a dynamic set of local linear regressive models. Neural gas is used for a more flexible structure of the mixture model. Furthermore, a new similarity measure has been introduced in the self-organising network to better quantify the similarity of time series segments. The network can be used naturally in modelling and forecasting non-stationary time series. Experiments on artificial, benchmark time series (e.g. Mackey-Glass) and real-world data (e.g. numbers of sunspots and Forex rates) are presented and the results show that the proposed SOMAR network is effective and superior to other similar approaches.

  1. A NEW TEST FOR NORMALITY IN LINEAR AUTOREGRESSIVE MODELS

    Institute of Scientific and Technical Information of China (English)

    CHEN Min; WU Guofu; Gemai Chen

    2002-01-01

    A nonparametric test for normality of linear autoregressive time series isproposed in this paper. The test is based on the best one-step forecast in mean squarewith time reverse. Some asymptotic theory is developed for the test, and it is shown thatthe test is easy to use and has good powers. The empirical percentage points to conductthe test in practice are provided and three examples using real data are included.

  2. Multivariate autoregressive models with exogenous inputs for intracerebral responses to direct electrical stimulation of the human brain

    Directory of Open Access Journals (Sweden)

    Jui-Yang eChang

    2012-11-01

    Full Text Available A multivariate autoregressive model with exogenous inputs is developed for describing the cortical interactions excited by direct electrical current stimulation of the cortex. Current stimulation is challenging to model because it excites neurons in multiple locations both near and distant to the stimulation site. The approach presented here models these effects using an exogenous input that is passed through a bank of filters, one for each channel. The filtered input and a random input excite a multivariate autoregressive system describing the interactions between cortical activity at the recording sites. The exogenous input filter coefficients, the autoregressive coefficients, and random input characteristics are estimated from the measured activity due to current stimulation. The effectiveness of the approach is demonstrated using intracranial recordings from three surgical epilepsy patients. We evaluate models for wakefulness and NREM sleep in these patients with two stimulation levels in one patient and two stimulation sites in another resulting in a total of ten datasets. Excellent agreement between measured and model-predicted evoked responses is obtained across all datasets. Furthermore, one-step prediction is used to show that the model also describes dynamics in prestimulus and evoked recordings. We also compare integrated information --- a measure of intracortical communication thought to reflect the capacity for consciousness --- associated with the network model in wakefulness and sleep. As predicted, higher information integration is found in wakefulness than in sleep for all five cases.

  3. Poisson Autoregression

    DEFF Research Database (Denmark)

    Fokianos, Konstantinos; Rahbek, Anders Christian; Tjøstheim, Dag

    This paper considers geometric ergodicity and likelihood based inference for linear and nonlinear Poisson autoregressions. In the linear case the conditional mean is linked linearly to its past values as well as the observed values of the Poisson process. This also applies to the conditional...... variance, implying an interpretation as an integer valued GARCH process. In a nonlinear conditional Poisson model, the conditional mean is a nonlinear function of its past values and a nonlinear function of past observations. As a particular example an exponential autoregressive Poisson model for time...... series is considered. Under geometric ergodicity the maximum likelihood estimators of the parameters are shown to be asymptotically Gaussian in the linear model. In addition we provide a consistent estimator of the asymptotic covariance, which is used in the simulations and the analysis of some...

  4. A Comparison of Inverse-Wishart Prior Specifications for Covariance Matrices in Multilevel Autoregressive Models.

    Science.gov (United States)

    Schuurman, N K; Grasman, R P P P; Hamaker, E L

    2016-01-01

    Multilevel autoregressive models are especially suited for modeling between-person differences in within-person processes. Fitting these models with Bayesian techniques requires the specification of prior distributions for all parameters. Often it is desirable to specify prior distributions that have negligible effects on the resulting parameter estimates. However, the conjugate prior distribution for covariance matrices-the Inverse-Wishart distribution-tends to be informative when variances are close to zero. This is problematic for multilevel autoregressive models, because autoregressive parameters are usually small for each individual, so that the variance of these parameters will be small. We performed a simulation study to compare the performance of three Inverse-Wishart prior specifications suggested in the literature, when one or more variances for the random effects in the multilevel autoregressive model are small. Our results show that the prior specification that uses plug-in ML estimates of the variances performs best. We advise to always include a sensitivity analysis for the prior specification for covariance matrices of random parameters, especially in autoregressive models, and to include a data-based prior specification in this analysis. We illustrate such an analysis by means of an empirical application on repeated measures data on worrying and positive affect.

  5. Modeling the cardiovascular system using a nonlinear additive autoregressive model with exogenous input

    Science.gov (United States)

    Riedl, M.; Suhrbier, A.; Malberg, H.; Penzel, T.; Bretthauer, G.; Kurths, J.; Wessel, N.

    2008-07-01

    The parameters of heart rate variability and blood pressure variability have proved to be useful analytical tools in cardiovascular physics and medicine. Model-based analysis of these variabilities additionally leads to new prognostic information about mechanisms behind regulations in the cardiovascular system. In this paper, we analyze the complex interaction between heart rate, systolic blood pressure, and respiration by nonparametric fitted nonlinear additive autoregressive models with external inputs. Therefore, we consider measurements of healthy persons and patients suffering from obstructive sleep apnea syndrome (OSAS), with and without hypertension. It is shown that the proposed nonlinear models are capable of describing short-term fluctuations in heart rate as well as systolic blood pressure significantly better than similar linear ones, which confirms the assumption of nonlinear controlled heart rate and blood pressure. Furthermore, the comparison of the nonlinear and linear approaches reveals that the heart rate and blood pressure variability in healthy subjects is caused by a higher level of noise as well as nonlinearity than in patients suffering from OSAS. The residue analysis points at a further source of heart rate and blood pressure variability in healthy subjects, in addition to heart rate, systolic blood pressure, and respiration. Comparison of the nonlinear models within and among the different groups of subjects suggests the ability to discriminate the cohorts that could lead to a stratification of hypertension risk in OSAS patients.

  6. Implementing Bayesian Vector Autoregressions Implementing Bayesian Vector Autoregressions

    Directory of Open Access Journals (Sweden)

    Richard M. Todd

    1988-03-01

    Full Text Available Implementing Bayesian Vector Autoregressions This paper discusses how the Bayesian approach can be used to construct a type of multivariate forecasting model known as a Bayesian vector autoregression (BVAR. In doing so, we mainly explain Doan, Littermann, and Sims (1984 propositions on how to estimate a BVAR based on a certain family of prior probability distributions. indexed by a fairly small set of hyperparameters. There is also a discussion on how to specify a BVAR and set up a BVAR database. A 4-variable model is used to iliustrate the BVAR approach.

  7. Model uncertainty and Bayesian model averaging in vector autoregressive processes

    NARCIS (Netherlands)

    R.W. Strachan (Rodney); H.K. van Dijk (Herman)

    2006-01-01

    textabstractEconomic forecasts and policy decisions are often informed by empirical analysis based on econometric models. However, inference based upon a single model, when several viable models exist, limits its usefulness. Taking account of model uncertainty, a Bayesian model averaging procedure i

  8. Goodness-of-fit tests for vector autoregressive models in time series

    Institute of Scientific and Technical Information of China (English)

    2010-01-01

    The paper proposes and studies some diagnostic tools for checking the goodness-of-fit of general parametric vector autoregressive models in time series. The resulted tests are asymptotically chi-squared under the null hypothesis and can detect the alternatives converging to the null at a parametric rate. The tests involve weight functions,which provides us with the flexibility to choose scores for enhancing power performance,especially under directional alternatives. When the alternatives are not directional,we construct asymptotically distribution-free maximin tests for a large class of alternatives. A possibility to construct score-based omnibus tests is discussed when the alternative is saturated. The power performance is also investigated. In addition,when the sample size is small,a nonparametric Monte Carlo test approach for dependent data is proposed to improve the performance of the tests. The algorithm is easy to implement. Simulation studies and real applications are carried out for illustration.

  9. Get Over It! A Multilevel Threshold Autoregressive Model for State-Dependent Affect Regulation

    NARCIS (Netherlands)

    De Haan-Rietdijk, Silvia; Gottman, John M.; Bergeman, Cindy S.; Hamaker, Ellen L.

    2014-01-01

    Intensive longitudinal data provide rich information, which is best captured when specialized models are used in the analysis. One of these models is the multilevel autoregressive model, which psychologists have applied successfully to study affect regulation as well as alcohol use. A limitation of

  10. Testing the Conditional Mean Function of Autoregressive Conditional Duration Models

    DEFF Research Database (Denmark)

    Hautsch, Nikolaus

    be subject to censoring structures. In an empirical study based on financial transaction data we present an application of the model to estimate conditional asset price change probabilities. Evaluating the forecasting properties of the model, it is shown that the proposed approach is a promising competitor...... function. The dynamic properties of the model as well as an assessment of the estimation quality is investigated in a Monte Carlo study. It is illustrated that the model is a useful approach to estimate conditional failure probabilities based on (persistent) serial dependent duration data which might...

  11. Surgical workflow analysis with Gaussian mixture multivariate autoregressive (GMMAR) models: a simulation study.

    Science.gov (United States)

    Loukas, Constantinos; Georgiou, Evangelos

    2013-01-01

    There is currently great interest in analyzing the workflow of minimally invasive operations performed in a physical or simulation setting, with the aim of extracting important information that can be used for skills improvement, optimization of intraoperative processes, and comparison of different interventional strategies. The first step in achieving this goal is to segment the operation into its key interventional phases, which is currently approached by modeling a multivariate signal that describes the temporal usage of a predefined set of tools. Although this technique has shown promising results, it is challenged by the manual extraction of the tool usage sequence and the inability to simultaneously evaluate the surgeon's skills. In this paper we describe an alternative methodology for surgical phase segmentation and performance analysis based on Gaussian mixture multivariate autoregressive (GMMAR) models of the hand kinematics. Unlike previous work in this area, our technique employs signals from orientation sensors, attached to the endoscopic instruments of a virtual reality simulator, without considering which tools are employed at each time-step of the operation. First, based on pre-segmented hand motion signals, a training set of regression coefficients is created for each surgical phase using multivariate autoregressive (MAR) models. Then, a signal from a new operation is processed with GMMAR, wherein each phase is modeled by a Gaussian component of regression coefficients. These coefficients are compared to those of the training set. The operation is segmented according to the prior probabilities of the surgical phases estimated via GMMAR. The method also allows for the study of motor behavior and hand motion synchronization demonstrated in each phase, a quality that can be incorporated into modern laparoscopic simulators for skills assessment.

  12. Blind identification of threshold auto-regressive model for machine fault diagnosis

    Institute of Scientific and Technical Information of China (English)

    LI Zhinong; HE Yongyong; CHU Fulei; WU Zhaotong

    2007-01-01

    A blind identification method was developed for the threshold auto-regressive (TAR) model. The method had good identification accuracy and rapid convergence, especially for higher order systems. The proposed method was then combined with the hidden Markov model (HMM) to determine the auto-regressive (AR) coefficients for each interval used for feature extraction, with the HMM as a classifier. The fault diagnoses during the speed-up and speed- down processes for rotating machinery have been success- fully completed. The result of the experiment shows that the proposed method is practical and effective.

  13. Autoregressive spatial analysis and individual tree modeling as strategies for the management of Eremanthus erythropappus

    Institute of Scientific and Technical Information of China (English)

    Henrique Ferraco Scolforo; Jose Roberto Soares Scolforo; Jose Marcio de Mello; Antonio Carlos Ferraz Filho; Diogo Francisco Rossoni; Thiza Falqueto Altoe; Antonio Donizette Oliveira; Renato Ribeiro de Lima

    2016-01-01

    The objectives of this study were to apply statistical techniques to discriminate fertilization treat-ments of Eremanthus erythropappus (DC.) MacLeish. through autoregressive modeling, and to develop individual tree models for diameter and crown area (CA) projection to define management strategies for candeia plantations sub-jected to different fertilization treatments. This is an important tree species originating from the Brazilian Atlantic Rain forest and Savannah biomes, intensively used in the cosmetic industry. Nonetheless, to date, research has not addressed the management of natural stands or plan-tations of the species. Our experiment was located in Baependi, Minas Gerais, Brazil, and comprised of four randomized blocks and 13 treatments. The treatments consisted of 12 different regimes of fertilization plus a control. Each sample plot was composed of 50 plants plus two border plants in a planting spacing of 2.5 9 2.0 m and undergoing pruning at 5 and 6 years of age. Starting in the second year, total tree height (H) and circumference (at 1.30 m from the ground or breast height, CBH) were measured every 6 months. Starting in the fifth year CA was measured. Tree growth varied by fertilization strategy. Differences were detected by using an autoregressive approach, considering that standard statistical methods were not powerful enough to detect significant differences. Three growth groups were formed, and maximum growth was obtained for treatment 10 (NPK, 8-28-16). Manage-ment guidelines are provided based on individual tree models for different fertilization levels.

  14. Fitting multistate transition models with autoregressive logistic regression : Supervised exercise in intermittent claudication

    NARCIS (Netherlands)

    de Vries, S O; Fidler, Vaclav; Kuipers, Wietze D; Hunink, Maria G M

    1998-01-01

    The purpose of this study was to develop a model that predicts the outcome of supervised exercise for intermittent claudication. The authors present an example of the use of autoregressive logistic regression for modeling observed longitudinal data. Data were collected from 329 participants in a six

  15. Monthly sunspot number time series analysis and its modeling through autoregressive artificial neural network

    CERN Document Server

    Chattopadhyay, Goutami; 10.1140/epjp/i2012-12043-9

    2012-01-01

    This study reports a statistical analysis of monthly sunspot number time series and observes non homogeneity and asymmetry within it. Using Mann-Kendall test a linear trend is revealed. After identifying stationarity within the time series we generate autoregressive AR(p) and autoregressive moving average (ARMA(p,q)). Based on minimization of AIC we find 3 and 1 as the best values of p and q respectively. In the next phase, autoregressive neural network (AR-NN(3)) is generated by training a generalized feedforward neural network (GFNN). Assessing the model performances by means of Willmott's index of second order and coefficient of determination, the performance of AR-NN(3) is identified to be better than AR(3) and ARMA(3,1).

  16. Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Møller, Niels Framroze

    2008-01-01

    Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity in the econo......Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity...... are related to expectations formation, market clearing, nominal rigidities, etc. Finally, the general-partial equilibrium distinction is analyzed....

  17. Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Møller, Niels Framroze

    2008-01-01

    Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity in the econo......Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity...... parameters of the CVAR are shown to be interpretable in terms of expectations formation, market clearing, nominal rigidities, etc. The general-partial equilibrium distinction is also discussed....

  18. Bayesian inversion of microtremor array dispersion data with hierarchical trans-dimensional earth and autoregressive error models

    Science.gov (United States)

    Molnar, S.; Dettmer, J.; Steininger, G.; Dosso, S. E.; Cassidy, J. F.

    2013-12-01

    This paper applies hierarchical, trans-dimensional Bayesian models for earth and residual-error parametrizations to the inversion of microtremor array dispersion data for shear-wave velocity (Vs) structure. The earth is parametrized in terms of flat-lying, homogeneous layers and residual errors are parametrized with a first-order autoregressive data-error model. The inversion accounts for the limited knowledge of the optimal earth and residual error model parametrization (e.g. the number of layers in the Vs profile) in the resulting Vs parameter uncertainty estimates. The assumed earth model parametrization influences estimates of parameter values and uncertainties due to different parametrizations leading to different ranges of data predictions. The support of the data for a particular model is often non-unique and several parametrizations may be supported. A trans-dimensional formulation accounts for this non-uniqueness by including a model-indexing parameter as an unknown so that groups of models (identified by the index) are considered in the results. In addition, serial residual-error correlations are addressed by augmenting the geophysical forward model with a hierarchical autoregressive error model that can account for a wide range of error processes with a small number of parameters. Hence, the limited knowledge about the true statistical distribution of data errors is also accounted for in the earth model parameter estimates, resulting in more realistic uncertainties and parameter values. Hierarchical autoregressive error models do not rely on point estimates of the model vector to estimate residual-error statistics, and have no requirement for computing the inverse or determinant of a covariance matrix. This approach is particularly useful for trans-dimensional inverse problems, as point estimates may not be representative of the state space that spans multiple subspaces of different dimensions. The autoregressive process is restricted to first order and

  19. A Study of Wind Statistics Through Auto-Regressive and Moving-Average (ARMA) Modeling

    Institute of Scientific and Technical Information of China (English)

    尹彰; 周宗仁

    2001-01-01

    Statistical properties of winds near the Taichung Harbour are investigated. The 26 years′incomplete data of wind speeds, measured on an hourly basis, are used as reference. The possibility of imputation using simulated results of the Auto-Regressive (AR), Moving-Average (MA), and/or Auto-Regressive and Moving-Average (ARMA) models is studied. Predictions of the 25-year extreme wind speeds based upon the augmented data are compared with the original series. Based upon the results, predictions of the 50- and 100-year extreme wind speeds are then made.

  20. Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets

    DEFF Research Database (Denmark)

    Dias, Gustavo Fruet; Kapetanios, George

    We address the issue of modelling and forecasting macroeconomic variables using rich datasets, by adopting the class of Vector Autoregressive Moving Average (VARMA) models. We overcome the estimation issue that arises with this class of models by implementing an iterative ordinary least squares...... alternative scenarios. Our empirical application shows that VARMA models are feasible alternatives when forecasting with many predictors. We show that VARMA models outperform the AR(1), BVAR and factor models, considering different model dimensions....

  1. Price and Income Elasticity of Australian Retail Finance: An Autoregressive Distributed Lag (ARDL Approach

    Directory of Open Access Journals (Sweden)

    Helen Higgs

    2014-03-01

    Full Text Available This paper models the price and income elasticity of retail finance in Australia using aggregate quarterly data and an autoregressive distributed lag (ARDL approach. We particularly focus on the impact of the global financial crisis (GFC from 2007 onwards on retail finance demand and analyse four submarkets (period analysed in brackets: owneroccupied housing loans (Sep 1985–June 2010, term loans (for motor vehicles, household goods and debt consolidation, etc. (Dec 1988–Jun 2010, credit card loans (Mar 1990–Jun 2010, and margin loans (Sep 2000–Jun 2010. Other than the indicator lending rates and annual full-time earnings respectively used as proxies for the price and income effects, we specify a large number of other variables as demand factors, particularly reflecting the value of the asset for which retail finance demand is derived. These variously include the yield on indexed bonds as a proxy for inflation expectations, median housing prices, consumer sentiment indices as measures of consumer confidence, motor vehicle and retail trade sales, housing debt-to-housing assets as a measure of leverage, the proportion of protected margin lending, the available credit limit on credit cards, and the All Ordinaries Index. In the long run, we find significant price elasticities only for term loans and margin loans, and significant income elasticities of demand for housing loans, term loans and margin loans. We also find that the GFC only significantly affected the longrun demand for term loans and margin loans. In the short run, we find that the GFC has had a significant effect on the price elasticity of demand for term loans and margin loans. Expected inflation is also a key factor affecting retail finance demand. Overall, most of the submarkets in the analysis indicate that retail finance demand is certainly price inelastic but more income elastic than conventionally thought.

  2. Search for periodicities in experimental data using an autoregression data model

    CERN Document Server

    Belashev, B Z

    2001-01-01

    To process data obtained during interference experiments in high-energy physics, methods of spectral analysis are employed. Methods of spectral analysis, in which an autoregression model of experimental data is used, such as the maximum entropy technique as well as Pisarenko and Prony's method, are described. To show the potentials of the methods, experimental and simulated hummed data are discussed as an example.

  3. Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications

    OpenAIRE

    Teräsvirta, Timo; Yang, Yukai

    2014-01-01

    We consider a nonlinear vector model called the logistic vector smooth transition autoregressive model. The bivariate single-transition vector smooth transition regression model of Camacho (2004) is generalised to a multivariate and multitransition one. A modelling strategy consisting of specification, including testing linearity, estimation and evaluation of these models is constructed. Nonlinear least squares estimation of the parameters of the model is discussed. Evaluation by misspecifica...

  4. On vector autoregressive modeling in space and time

    Science.gov (United States)

    di Giacinto, Valter

    2010-06-01

    Despite the fact that it provides a potentially useful analytical tool, allowing for the joint modeling of dynamic interdependencies within a group of connected areas, until lately the VAR approach had received little attention in regional science and spatial economic analysis. This paper aims to contribute in this field by dealing with the issues of parameter identification and estimation and of structural impulse response analysis. In particular, there is a discussion of the adaptation of the recursive identification scheme (which represents one of the more common approaches in the time series VAR literature) to a space-time environment. Parameter estimation is subsequently based on the Full Information Maximum Likelihood (FIML) method, a standard approach in structural VAR analysis. As a convenient tool to summarize the information conveyed by regional dynamic multipliers with a specific emphasis on the scope of spatial spillover effects, a synthetic space-time impulse response function (STIR) is introduced, portraying average effects as a function of displacement in time and space. Asymptotic confidence bands for the STIR estimates are also derived from bootstrap estimates of the standard errors. Finally, to provide a basic illustration of the methodology, the paper presents an application of a simple bivariate fiscal model fitted to data for Italian NUTS 2 regions.

  5. Time-varying parameter auto-regressive models for autocovariance nonstationary time series

    Institute of Scientific and Technical Information of China (English)

    FEI WanChun; BAI Lun

    2009-01-01

    In this paper,autocovariance nonstationary time series is clearly defined on a family of time series.We propose three types of TVPAR (time-varying parameter auto-regressive) models:the full order TVPAR model,the time-unvarying order TVPAR model and the time-varying order TVPAR model for autocovariance nonstationary time series.Related minimum AIC (Akaike information criterion) estimations are carried out.

  6. Time-varying parameter auto-regressive models for autocovariance nonstationary time series

    Institute of Scientific and Technical Information of China (English)

    2009-01-01

    In this paper, autocovariance nonstationary time series is clearly defined on a family of time series. We propose three types of TVPAR (time-varying parameter auto-regressive) models: the full order TVPAR model, the time-unvarying order TVPAR model and the time-varying order TV-PAR model for autocovariance nonstationary time series. Related minimum AIC (Akaike information criterion) estimations are carried out.

  7. Offline and online detection of damage using autoregressive models and artificial neural networks

    Science.gov (United States)

    Omenzetter, Piotr; de Lautour, Oliver R.

    2007-04-01

    Developed to study long, regularly sampled streams of data, time series analysis methods are being increasingly investigated for the use of Structural Health Monitoring. In this research, Autoregressive (AR) models are used in conjunction with Artificial Neural Networks (ANNs) for damage detection, localisation and severity assessment. In the first reported experimental exercise, AR models were used offline to fit the acceleration time histories of a 3-storey test structure in undamaged and various damaged states when excited by earthquake motion simulated on a shake table. Damage was introduced into the structure by replacing the columns with those of a thinner thickness. Analytical models of the structure in both damaged and undamaged states were also developed and updated using experimental data in order to determine structural stiffness. The coefficients of AR models were used as damage sensitive features and input into an ANN to build a relationship between them and the remaining structural stiffness. In the second, analytical exercise, a system with gradually progressing damage was numerically simulated and acceleration AR models with exogenous inputs were identified recursively. A trained ANN was then required to trace the structural stiffness online. The results for the offline and online approach showed the efficiency of using AR coefficient as damage sensitive features and good performance of the ANNs for damage detection, localization and quantification.

  8. Predicting heartbeat arrival time for failure detection over internet using auto-regressive exogenous model

    Institute of Scientific and Technical Information of China (English)

    Zhao Haijun; Ma Yan; Huang Xiaohong; Su Yujie

    2008-01-01

    Predicting heartbeat message arrival time is crucial for the quality of failure detection service over internet. However, internet dynamic characteristics make it very difficult to understand message behavior and accurately predict heartbeat arrival time. To solve this problem, a novel black-box model is proposed to predict the next heartbeat arrival time. Heartbeat arrival time is modeled as auto-regressive process, heartbeat sending time is modeled as exogenous variable, the model's coefficients are estimated based on the sliding window of observations and this result is used to predict the next heartbeat arrival time. Simulation shows that this adaptive auto-regressive exogenous (ARX) model can accurately capture heartbeat arrival dynamics and minimize prediction error in different network environments.

  9. A Bayesian localized conditional autoregressive model for estimating the health effects of air pollution.

    Science.gov (United States)

    Lee, Duncan; Rushworth, Alastair; Sahu, Sujit K

    2014-06-01

    Estimation of the long-term health effects of air pollution is a challenging task, especially when modeling spatial small-area disease incidence data in an ecological study design. The challenge comes from the unobserved underlying spatial autocorrelation structure in these data, which is accounted for using random effects modeled by a globally smooth conditional autoregressive model. These smooth random effects confound the effects of air pollution, which are also globally smooth. To avoid this collinearity a Bayesian localized conditional autoregressive model is developed for the random effects. This localized model is flexible spatially, in the sense that it is not only able to model areas of spatial smoothness, but also it is able to capture step changes in the random effects surface. This methodological development allows us to improve the estimation performance of the covariate effects, compared to using traditional conditional auto-regressive models. These results are established using a simulation study, and are then illustrated with our motivating study on air pollution and respiratory ill health in Greater Glasgow, Scotland in 2011. The model shows substantial health effects of particulate matter air pollution and nitrogen dioxide, whose effects have been consistently attenuated by the currently available globally smooth models.

  10. Generalized Spatial Two Stage Least Squares Estimation of Spatial Autoregressive Models with Autoregressive Disturbances in the Presence of Endogenous Regressors and Many Instruments

    Directory of Open Access Journals (Sweden)

    Fei Jin

    2013-05-01

    Full Text Available This paper studies the generalized spatial two stage least squares (GS2SLS estimation of spatial autoregressive models with autoregressive disturbances when there are endogenous regressors with many valid instruments. Using many instruments may improve the efficiency of estimators asymptotically, but the bias might be large in finite samples, making the inference inaccurate. We consider the case that the number of instruments K increases with, but at a rate slower than, the sample size, and derive the approximate mean square errors (MSE that account for the trade-offs between the bias and variance, for both the GS2SLS estimator and a bias-corrected GS2SLS estimator. A criterion function for the optimal K selection can be based on the approximate MSEs. Monte Carlo experiments are provided to show the performance of our procedure of choosing K.

  11. A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory

    DEFF Research Database (Denmark)

    Nonejad, Nima

    We propose a flexible model to describe nonlinearities and long-range dependence in time series dynamics. Our model is an extension of the heterogeneous autoregressive model. Structural breaks occur through mixture distributions in state innovations of linear Gaussian state space models. Monte...... Carlo simulations evaluate the properties of the estimation procedures. Results show that the proposed model is viable and flexible for purposes of forecasting volatility. Model uncertainty is accounted for by employing Bayesian model averaging. Bayesian model averaging provides very competitive...... forecasts compared to any single model specification. It provides further improvements when we average over nonlinear specifications....

  12. A Hybrid Short-Term Power Load Forecasting Model Based on the Singular Spectrum Analysis and Autoregressive Model

    Directory of Open Access Journals (Sweden)

    Hongze Li

    2014-01-01

    Full Text Available Short-term power load forecasting is one of the most important issues in the economic and reliable operation of electricity power system. Taking the characteristics of randomness, tendency, and periodicity of short-term power load into account, a new method (SSA-AR model which combines the univariate singular spectrum analysis and autoregressive model is proposed. Firstly, the singular spectrum analysis (SSA is employed to decompose and reconstruct the original power load series. Secondly, the autoregressive (AR model is used to forecast based on the reconstructed power load series. The employed data is the hourly power load series of the Mid-Atlantic region in PJM electricity market. Empirical analysis result shows that, compared with the single autoregressive model (AR, SSA-based linear recurrent method (SSA-LRF, and BPNN (backpropagation neural network model, the proposed SSA-AR method has a better performance in terms of short-term power load forecasting.

  13. Improving Forecasts of Generalized Autoregressive Conditional Heteroskedasticity with Wavelet Transform

    Directory of Open Access Journals (Sweden)

    Yu Zhao

    2013-01-01

    Full Text Available In the study, we discussed the generalized autoregressive conditional heteroskedasticity model and enhanced it with wavelet transform to evaluate the daily returns for 1/4/2002-30/12/2011 period in Brent oil market. We proposed discrete wavelet transform generalized autoregressive conditional heteroskedasticity model to increase the forecasting performance of the generalized autoregressive conditional heteroskedasticity model. Our new approach can overcome the defect of generalized autoregressive conditional heteroskedasticity family models which can’t describe the detail and partial features of times series and retain the advantages of them at the same time. Comparing with the generalized autoregressive conditional heteroskedasticity model, the new approach significantly improved forecast results and greatly reduces conditional variances.

  14. Thresholds and Smooth Transitions in Vector Autoregressive Models

    DEFF Research Database (Denmark)

    Hubrich, Kirstin; Teräsvirta, Timo

    This survey focuses on two families of nonlinear vector time series models, the family of Vector Threshold Regression models and that of Vector Smooth Transition Regression models. These two model classes contain incomplete models in the sense that strongly exogeneous variables are allowed...... in the equations. The emphasis is on stationary models, but the considerations also include nonstationary Vector Threshold Regression and Vector Smooth Transition Regression models with cointegrated variables. Model specification, estimation and evaluation is considered, and the use of the models illustrated...

  15. Asymmetric and common absorption of shocks in nonlinear autoregressive models

    OpenAIRE

    Dijk, Dick van; Franses, Philip Hans; Boswijk, Peter

    2000-01-01

    textabstractA key feature of many nonlinear time series models is that they allow for the possibility that the model structure experiences changes, depending on for example the state of the economy or of the financial market. A common property of these models is that it generally is not possible to fully understand the structure of the model by considering the estimated values of the model parameters only. Put differently, it often is difficult to interpret a specific nonlinear model. To shed...

  16. Granger Causality in Multivariate Time Series Using a Time-Ordered Restricted Vector Autoregressive Model

    Science.gov (United States)

    Siggiridou, Elsa; Kugiumtzis, Dimitris

    2016-04-01

    Granger causality has been used for the investigation of the inter-dependence structure of the underlying systems of multi-variate time series. In particular, the direct causal effects are commonly estimated by the conditional Granger causality index (CGCI). In the presence of many observed variables and relatively short time series, CGCI may fail because it is based on vector autoregressive models (VAR) involving a large number of coefficients to be estimated. In this work, the VAR is restricted by a scheme that modifies the recently developed method of backward-in-time selection (BTS) of the lagged variables and the CGCI is combined with BTS. Further, the proposed approach is compared favorably to other restricted VAR representations, such as the top-down strategy, the bottom-up strategy, and the least absolute shrinkage and selection operator (LASSO), in terms of sensitivity and specificity of CGCI. This is shown by using simulations of linear and nonlinear, low and high-dimensional systems and different time series lengths. For nonlinear systems, CGCI from the restricted VAR representations are compared with analogous nonlinear causality indices. Further, CGCI in conjunction with BTS and other restricted VAR representations is applied to multi-channel scalp electroencephalogram (EEG) recordings of epileptic patients containing epileptiform discharges. CGCI on the restricted VAR, and BTS in particular, could track the changes in brain connectivity before, during and after epileptiform discharges, which was not possible using the full VAR representation.

  17. Granger Causality in Multi-variate Time Series using a Time Ordered Restricted Vector Autoregressive Model

    CERN Document Server

    Siggiridou, Elsa

    2015-01-01

    Granger causality has been used for the investigation of the inter-dependence structure of the underlying systems of multi-variate time series. In particular, the direct causal effects are commonly estimated by the conditional Granger causality index (CGCI). In the presence of many observed variables and relatively short time series, CGCI may fail because it is based on vector autoregressive models (VAR) involving a large number of coefficients to be estimated. In this work, the VAR is restricted by a scheme that modifies the recently developed method of backward-in-time selection (BTS) of the lagged variables and the CGCI is combined with BTS. Further, the proposed approach is compared favorably to other restricted VAR representations, such as the top-down strategy, the bottom-up strategy, and the least absolute shrinkage and selection operator (LASSO), in terms of sensitivity and specificity of CGCI. This is shown by using simulations of linear and nonlinear, low and high-dimensional systems and different t...

  18. A Modified Weighted Symmetric Estimator for a Gaussian First-order Autoregressive Model with Additive Outliers

    Directory of Open Access Journals (Sweden)

    Wararit PANICHKITKOSOLKUL

    2012-09-01

    Full Text Available Guttman and Tiao [1], and Chang [2] showed that the effect of outliers may cause serious bias in estimating autocorrelations, partial correlations, and autoregressive moving average parameters (cited in Chang et al. [3]. This paper presents a modified weighted symmetric estimator for a Gaussian first-order autoregressive AR(1 model with additive outliers. We apply the recursive median adjustment based on an exponentially weighted moving average (EWMA to the weighted symmetric estimator of Park and Fuller [4]. We consider the following estimators: the weighted symmetric estimator (, the recursive mean adjusted weighted symmetric estimator ( proposed by Niwitpong [5], the recursive median adjusted weighted symmetric estimator ( proposed by Panichkitkosolkul [6], and the weighted symmetric estimator using adjusted recursive median based on EWMA (. Using Monte Carlo simulations, we compare the mean square error (MSE of estimators. Simulation results have shown that the proposed estimator, , provides a MSE lower than those of , and  for almost all situations.

  19. Improved Subset Autoregression: With R Package

    Directory of Open Access Journals (Sweden)

    A. I. McLeod

    2008-07-01

    Full Text Available The FitAR R (R Development Core Team 2008 package that is available on the Comprehensive R Archive Network is described. This package provides a comprehensive approach to fitting autoregressive and subset autoregressive time series. For long time series with complicated autocorrelation behavior, such as the monthly sunspot numbers, subset autoregression may prove more feasible and/or parsimonious than using AR or ARMA models. The two principal functions in this package are SelectModel and FitAR for automatic model selection and model fitting respectively. In addition to the regular autoregressive model and the usual subset autoregressive models (Tong 1977, these functions implement a new family of models. This new family of subset autoregressive models is obtained by using the partial autocorrelations as parameters and then selecting a subset of these parameters. Further properties and results for these models are discussed in McLeod and Zhang (2006. The advantages of this approach are that not only is an efficient algorithm for exact maximum likelihood implemented but that efficient methods are derived for selecting high-order subset models that may occur in massive datasets containing long time series. A new improved extended {BIC} criterion, {UBIC}, developed by Chen and Chen (2008 is implemented for subset model selection. A complete suite of model building functions for each of the three types of autoregressive models described above are included in the package. The package includes functions for time series plots, diagnostic testing and plotting, bootstrapping, simulation, forecasting, Box-Cox analysis, spectral density estimation and other useful time series procedures. As well as methods for standard generic functions including print, plot, predict and others, some new generic functions and methods are supplied that make it easier to work with the output from FitAR for bootstrapping, simulation, spectral density estimation and Box

  20. Asymmetric and common absorption of shocks in nonlinear autoregressive models

    NARCIS (Netherlands)

    D.J.C. van Dijk (Dick); Ph.H.B.F. Franses (Philip Hans); H.P. Boswijk (Peter)

    2000-01-01

    textabstractA key feature of many nonlinear time series models is that they allow for the possibility that the model structure experiences changes, depending on for example the state of the economy or of the financial market. A common property of these models is that it generally is not possible to

  1. Efficient Blind System Identification of Non-Gaussian Auto-Regressive Models with HMM Modeling of the Excitation

    DEFF Research Database (Denmark)

    Li, Chunjian; Andersen, Søren Vang

    2007-01-01

    We propose two blind system identification methods that exploit the underlying dynamics of non-Gaussian signals. The two signal models to be identified are: an Auto-Regressive (AR) model driven by a discrete-state Hidden Markov process, and the same model whose output is perturbed by white Gaussian...

  2. Bias-corrected estimation in potentially mildly explosive autoregressive models

    DEFF Research Database (Denmark)

    Haufmann, Hendrik; Kruse, Robinson

    that the indirect inference approach oers a valuable alternative to other existing techniques. Its performance (measured by its bias and root mean squared error) is balanced and highly competitive across many different settings. A clear advantage is its applicability for mildly explosive processes. In an empirical...

  3. Bayesian vector autoregressive model for multi-subject effective connectivity inference using multi-modal neuroimaging data.

    Science.gov (United States)

    Chiang, Sharon; Guindani, Michele; Yeh, Hsiang J; Haneef, Zulfi; Stern, John M; Vannucci, Marina

    2017-03-01

    In this article a multi-subject vector autoregressive (VAR) modeling approach was proposed for inference on effective connectivity based on resting-state functional MRI data. Their framework uses a Bayesian variable selection approach to allow for simultaneous inference on effective connectivity at both the subject- and group-level. Furthermore, it accounts for multi-modal data by integrating structural imaging information into the prior model, encouraging effective connectivity between structurally connected regions. They demonstrated through simulation studies that their approach resulted in improved inference on effective connectivity at both the subject- and group-level, compared with currently used methods. It was concluded by illustrating the method on temporal lobe epilepsy data, where resting-state functional MRI and structural MRI were used. Hum Brain Mapp 38:1311-1332, 2017. © 2016 Wiley Periodicals, Inc.

  4. Noncausal Bayesian Vector Autoregression

    DEFF Research Database (Denmark)

    Lanne, Markku; Luoto, Jani

    We propose a Bayesian inferential procedure for the noncausal vector autoregressive (VAR) model that is capable of capturing nonlinearities and incorporating effects of missing variables. In particular, we devise a fast and reliable posterior simulator that yields the predictive distribution...

  5. Spatial Autoregressions in Digital Image Restoration: Simultaneous Models.

    Science.gov (United States)

    1980-12-01

    using the torus assumption and also by Fourier inversion of the spectral density function corresponding to some SAR models without the torus...the eigenvalues of the covariance matrix are the two-dimensional discrete spectral density function . We have also estimated the parameters of the... density function (SDF). In practice it is not known. Hence, the true SDF is replaced by an estimate. Typical estimates of the SDF can be obtained by

  6. [Study of cortico-cortical functional connectivity with vector autoregressive model of multichannel EEG].

    Science.gov (United States)

    Kurganskiĭ, A V

    2010-01-01

    This review focuses on some practical issues of using vector autoregressive model (VAR) for multichannel EEG analysis. Those issues include: EEG preprocessing, checking if the necessary conditions of VAR model applicability are met, optimal order selection, and assessment of the validity of fitted VAR model. Both non-directed (ordinary coherence and imaginary part of the complex-valued coherency) and directed (directed coherence, directed transfer function and partial directed coherence) measures of the strength of inter-channel coupling are discussed. These measures are analyzed with respect to their properties (scale invariance) and known problems in using them (spurious interactions, volume conduction).

  7. A representation theory for a class of vector autoregressive models for fractional processes

    DEFF Research Database (Denmark)

    Johansen, Søren

    2008-01-01

    Based on an idea of Granger (1986), we analyze a new vector autoregressive model defined from the fractional lag operator 1-(1-L)^{d}. We first derive conditions in terms of the coefficients for the model to generate processes which are fractional of order zero. We then show that if there is a unit...... root, the model generates a fractional process X(t) of order d, d>0, for which there are vectors ß so that ß'X(t) is fractional of order d-b, 0...

  8. Hydrological time series modeling: A comparison between adaptive neuro-fuzzy, neural network and autoregressive techniques

    Science.gov (United States)

    Lohani, A. K.; Kumar, Rakesh; Singh, R. D.

    2012-06-01

    SummaryTime series modeling is necessary for the planning and management of reservoirs. More recently, the soft computing techniques have been used in hydrological modeling and forecasting. In this study, the potential of artificial neural networks and neuro-fuzzy system in monthly reservoir inflow forecasting are examined by developing and comparing monthly reservoir inflow prediction models, based on autoregressive (AR), artificial neural networks (ANNs) and adaptive neural-based fuzzy inference system (ANFIS). To take care the effect of monthly periodicity in the flow data, cyclic terms are also included in the ANN and ANFIS models. Working with time series flow data of the Sutlej River at Bhakra Dam, India, several ANN and adaptive neuro-fuzzy models are trained with different input vectors. To evaluate the performance of the selected ANN and adaptive neural fuzzy inference system (ANFIS) models, comparison is made with the autoregressive (AR) models. The ANFIS model trained with the input data vector including previous inflows and cyclic terms of monthly periodicity has shown a significant improvement in the forecast accuracy in comparison with the ANFIS models trained with the input vectors considering only previous inflows. In all cases ANFIS gives more accurate forecast than the AR and ANN models. The proposed ANFIS model coupled with the cyclic terms is shown to provide better representation of the monthly inflow forecasting for planning and operation of reservoir.

  9. A self-organizing power system stabilizer using Fuzzy Auto-Regressive Moving Average (FARMA) model

    Energy Technology Data Exchange (ETDEWEB)

    Park, Y.M.; Moon, U.C. [Seoul National Univ. (Korea, Republic of). Electrical Engineering Dept.; Lee, K.Y. [Pennsylvania State Univ., University Park, PA (United States). Electrical Engineering Dept.

    1996-06-01

    This paper presents a self-organizing power system stabilizer (SOPSS) which use the Fuzzy Auto-Regressive Moving Average (FARMA) model. The control rules and the membership functions of the proposed logic controller are generated automatically without using any plant model. The generated rules are stored in the fuzzy rule space and updated on-line by a self-organizing procedure. To show the effectiveness of the proposed controller, comparison with a conventional controller for one-machine infinite-bus system is presented.

  10. A Pitfall in Using the Characterization of Granger Non-Causality in Vector Autoregressive Models

    Directory of Open Access Journals (Sweden)

    Umberto Triacca

    2015-04-01

    Full Text Available It is well known that in a vector autoregressive (VAR model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that if this assumption is violated, then the characterization of Granger non-causality in a VAR model fails to hold. In these situations Granger non-causality test results must be interpreted with caution.

  11. On tail behavior of nonlinear autoregressive functional conditional heteroscedastic model with heavy-tailed innovations

    Institute of Scientific and Technical Information of China (English)

    PAN; Jiazhu; WU; Guangxu

    2005-01-01

    We study the tail probability of the stationary distribution of nonparametric nonlinear autoregressive functional conditional heteroscedastic (NARFCH) model with heavytailed innovations. Our result shows that the tail of the stationary marginal distribution of an NARFCH series is heavily dependent on its conditional variance. When the innovations are heavy-tailed, the tail of the stationary marginal distribution of the series will become heavier or thinner than that of its innovations. We give some specific formulas to show how the increment or decrement of tail heaviness depends on the assumption on the conditional variance function. Some examples are given.

  12. Assessment of anaesthetic depth by clustering analysis and autoregressive modelling of electroencephalograms

    DEFF Research Database (Denmark)

    Thomsen, C E; Rosenfalck, A; Nørregaard Christensen, K

    1991-01-01

    The brain activity electroencephalogram (EEG) was recorded from 30 healthy women scheduled for hysterectomy. The patients were anaesthetized with isoflurane, halothane or etomidate/fentanyl. A multiparametric method was used for extraction of amplitude and frequency information from the EEG....... The method applied autoregressive modelling of the signal, segmented in 2 s fixed intervals. The features from the EEG segments were used for learning and for classification. The learning process was unsupervised and hierarchical clustering analysis was used to construct a learning set of EEG amplitude...

  13. Asymmetric impact of rainfall on India's food grain production: evidence from quantile autoregressive distributed lag model

    Science.gov (United States)

    Pal, Debdatta; Mitra, Subrata Kumar

    2016-10-01

    This study used a quantile autoregressive distributed lag (QARDL) model to capture asymmetric impact of rainfall on food production in India. It was found that the coefficient corresponding to the rainfall in the QARDL increased till the 75th quantile and started decreasing thereafter, though it remained in the positive territory. Another interesting finding is that at the 90th quantile and above the coefficients of rainfall though remained positive was not statistically significant and therefore, the benefit of high rainfall on crop production was not conclusive. However, the impact of other determinants, such as fertilizer and pesticide consumption, is quite uniform over the whole range of the distribution of food grain production.

  14. Ionospheric parameter modelling and anomaly discovery by combining the wavelet transform with autoregressive models

    Directory of Open Access Journals (Sweden)

    Oksana V. Mandrikova

    2015-11-01

    Full Text Available The paper is devoted to new mathematical tools for ionospheric parameter analysis and anomaly discovery during ionospheric perturbations. The complex structure of processes under study, their a-priori uncertainty and therefore the complex structure of registered data require a set of techniques and technologies to perform mathematical modelling, data analysis, and to make final interpretations. We suggest a technique of ionospheric parameter modelling and analysis based on combining the wavelet transform with autoregressive integrated moving average models (ARIMA models. This technique makes it possible to study ionospheric parameter changes in the time domain, make predictions about variations, and discover anomalies caused by high solar activity and lithospheric processes prior to and during strong earthquakes. The technique was tested on critical frequency foF2 and total electron content (TEC datasets from Kamchatka (a region in the Russian Far East and Magadan (a town in the Russian Far East. The mathematical models introduced in the paper facilitated ionospheric dynamic mode analysis and proved to be efficient for making predictions with time advance equal to 5 hours. Ionospheric anomalies were found using model error estimates, those anomalies arising during increased solar activity and strong earthquakes in Kamchatka.

  15. Forecasting Rice Productivity and Production of Odisha, India, Using Autoregressive Integrated Moving Average Models

    Directory of Open Access Journals (Sweden)

    Rahul Tripathi

    2014-01-01

    Full Text Available Forecasting of rice area, production, and productivity of Odisha was made from the historical data of 1950-51 to 2008-09 by using univariate autoregressive integrated moving average (ARIMA models and was compared with the forecasted all Indian data. The autoregressive (p and moving average (q parameters were identified based on the significant spikes in the plots of partial autocorrelation function (PACF and autocorrelation function (ACF of the different time series. ARIMA (2, 1, 0 model was found suitable for all Indian rice productivity and production, whereas ARIMA (1, 1, 1 was best fitted for forecasting of rice productivity and production in Odisha. Prediction was made for the immediate next three years, that is, 2007-08, 2008-09, and 2009-10, using the best fitted ARIMA models based on minimum value of the selection criterion, that is, Akaike information criteria (AIC and Schwarz-Bayesian information criteria (SBC. The performances of models were validated by comparing with percentage deviation from the actual values and mean absolute percent error (MAPE, which was found to be 0.61 and 2.99% for the area under rice in Odisha and India, respectively. Similarly for prediction of rice production and productivity in Odisha and India, the MAPE was found to be less than 6%.

  16. Application of Generalized Space-Time Autoregressive Model on GDP Data in West European Countries

    Directory of Open Access Journals (Sweden)

    Nunung Nurhayati

    2012-01-01

    Full Text Available This paper provides an application of generalized space-time autoregressive (GSTAR model on GDP data in West European countries. Preliminary model is identified by space-time ACF and space-time PACF of the sample, and model parameters are estimated using the least square method. The forecast performance is evaluated using the mean of squared forecast errors (MSFEs based on the last ten actual data. It is found that the preliminary model is GSTAR(2;1,1. As a comparison, the estimation and the forecast performance are also applied to the GSTAR(1;1 model which has fewer parameter. The results showed that the ASFE of GSTAR(2;1,1 is smaller than that of the order (1;1. However, the t-test value shows that the performance is significantly indifferent. Thus, due to the parsimony principle, the GSTAR(1;1 model might be considered as a forecasting model.

  17. Auto-Regressive Models of Non-Stationary Time Series with Finite Length

    Institute of Scientific and Technical Information of China (English)

    FEI Wanchun; BAI Lun

    2005-01-01

    To analyze and simulate non-stationary time series with finite length, the statistical characteristics and auto-regressive (AR) models of non-stationary time series with finite length are discussed and studied. A new AR model called the time varying parameter AR model is proposed for solution of non-stationary time series with finite length. The auto-covariances of time series simulated by means of several AR models are analyzed. The result shows that the new AR model can be used to simulate and generate a new time series with the auto-covariance same as the original time series. The size curves of cocoon filaments regarded as non-stationary time series with finite length are experimentally simulated. The simulation results are significantly better than those obtained so far, and illustrate the availability of the time varying parameter AR model. The results are useful for analyzing and simulating non-stationary time series with finite length.

  18. Identifying damage locations under ambient vibrations utilizing vector autoregressive models and Mahalanobis distances

    Science.gov (United States)

    Mosavi, A. A.; Dickey, D.; Seracino, R.; Rizkalla, S.

    2012-01-01

    This paper presents a study for identifying damage locations in an idealized steel bridge girder using the ambient vibration measurements. A sensitive damage feature is proposed in the context of statistical pattern recognition to address the damage detection problem. The study utilizes an experimental program that consists of a two-span continuous steel beam subjected to ambient vibrations. The vibration responses of the beam are measured along its length under simulated ambient vibrations and different healthy/damage conditions of the beam. The ambient vibration is simulated using a hydraulic actuator, and damages are induced by cutting portions of the flange at two locations. Multivariate vector autoregressive models were fitted to the vibration response time histories measured at the multiple sensor locations. A sensitive damage feature is proposed for identifying the damage location by applying Mahalanobis distances to the coefficients of the vector autoregressive models. A linear discriminant criterion was used to evaluate the amount of variations in the damage features obtained for different sensor locations with respect to the healthy condition of the beam. The analyses indicate that the highest variations in the damage features were coincident with the sensors closely located to the damages. The presented method showed a promising sensitivity to identify the damage location even when the induced damage was very small.

  19. Systematic evaluation of autoregressive error models as post-processors for a probabilistic streamflow forecast system

    Science.gov (United States)

    Morawietz, Martin; Xu, Chong-Yu; Gottschalk, Lars; Tallaksen, Lena

    2010-05-01

    A post-processor that accounts for the hydrologic uncertainty in a probabilistic streamflow forecast system is necessary to account for the uncertainty introduced by the hydrological model. In this study different variants of an autoregressive error model that can be used as a post-processor for short to medium range streamflow forecasts, are evaluated. The deterministic HBV model is used to form the basis for the streamflow forecast. The general structure of the error models then used as post-processor is a first order autoregressive model of the form dt = αdt-1 + σɛt where dt is the model error (observed minus simulated streamflow) at time t, α and σ are the parameters of the error model, and ɛt is the residual error described through a probability distribution. The following aspects are investigated: (1) Use of constant parameters α and σ versus the use of state dependent parameters. The state dependent parameters vary depending on the states of temperature, precipitation, snow water equivalent and simulated streamflow. (2) Use of a Standard Normal distribution for ɛt versus use of an empirical distribution function constituted through the normalized residuals of the error model in the calibration period. (3) Comparison of two different transformations, i.e. logarithmic versus square root, that are applied to the streamflow data before the error model is applied. The reason for applying a transformation is to make the residuals of the error model homoscedastic over the range of streamflow values of different magnitudes. Through combination of these three characteristics, eight variants of the autoregressive post-processor are generated. These are calibrated and validated in 55 catchments throughout Norway. The discrete ranked probability score with 99 flow percentiles as standardized thresholds is used for evaluation. In addition, a non-parametric bootstrap is used to construct confidence intervals and evaluate the significance of the results. The main

  20. The impact of missing data in a generalized integer-valued autoregression model for count data.

    Science.gov (United States)

    Alosh, Mohamed

    2009-11-01

    The impact of the missing data mechanism on estimates of model parameters for continuous data has been extensively investigated in the literature. In comparison, minimal research has been carried out for the impact of missing count data. The focus of this article is to investigate the impact of missing data on a transition model, termed the generalized autoregressive model of order 1 for longitudinal count data. The model has several features, including modeling dependence and accounting for overdispersion in the data, that make it appealing for the clinical trial setting. Furthermore, the model can be viewed as a natural extension of the commonly used log-linear model. Following introduction of the model and discussion of its estimation we investigate the impact of different missing data mechanisms on estimates of the model parameters through a simulation experiment. The findings of the simulation experiment show that, as in the case of normally distributed data, estimates under the missing completely at random (MCAR) and missing at random (MAR) mechanisms are close to their analogue for the full dataset and that the missing not at random (MNAR) mechanism has the greatest bias. Furthermore, estimates based on imputing the last observed value carried forward (LOCF) for missing data under the MAR assumption are similar to those of the MAR. This latter finding might be attributed to the Markov property underlying the model and to the high level of dependence among successive observations used in the simulation experiment. Finally, we consider an application of the generalized autoregressive model to a longitudinal epilepsy dataset analyzed in the literature.

  1. Alternative robust estimators for autoregressive models with outliers using differential evolution algorithm

    Science.gov (United States)

    Addawe, Rizavel C.; Addawe, Joel M.; Magadia, Joselito C.

    2016-11-01

    The Least Squares (LS), Least Median Squares (LMdS), Reweighted Least Squares (RLS) and Trimmed Least Squares (TLS) estimators are used to obtain parameter estimates of AR models using DE algorithm. The empirical study indicated that, the RLS estimator seems to be very reasonable because of having smaller root mean square error (RMSE), particularly for the Gaussian AR(1) process with unknown drift and additive outliers. Moreover, while LS performs well on shorter processes with less percentage and smaller magnitude of additive outliers (AOS); RLS and TLS compare favorably with respect to LS for longer AR processes. Thus, this study recommends the Reweighted Least Squares estimator as an alternative to the LS estimator in the case of autoregressive processes with additive outliers. The experiment also demonstrates that Differential Evolution (DE) algorithm obtains optimal solutions for fitting first-order autoregressive processes with outliers using the estimators. At the request of all authors of the paper, and with the agreement of the Proceedings Editor, an updated version of this article was published on 15 December 2016. The original version supplied to AIP Publishing contained errors in some of the mathematical equations and in Table 2. The errors have been corrected in the updated and re-published article.

  2. Poisson Autoregression

    DEFF Research Database (Denmark)

    Fokianos, Konstantinos; Rahbek, Anders Christian; Tjøstheim, Dag

    This paper considers geometric ergodicity and likelihood based inference for linear and nonlinear Poisson autoregressions. In the linear case the conditional mean is linked linearly to its past values as well as the observed values of the Poisson process. This also applies to the conditional...

  3. Multivariate Autoregressive Modeling and Granger Causality Analysis of Multiple Spike Trains

    Directory of Open Access Journals (Sweden)

    Michael Krumin

    2010-01-01

    Full Text Available Recent years have seen the emergence of microelectrode arrays and optical methods allowing simultaneous recording of spiking activity from populations of neurons in various parts of the nervous system. The analysis of multiple neural spike train data could benefit significantly from existing methods for multivariate time-series analysis which have proven to be very powerful in the modeling and analysis of continuous neural signals like EEG signals. However, those methods have not generally been well adapted to point processes. Here, we use our recent results on correlation distortions in multivariate Linear-Nonlinear-Poisson spiking neuron models to derive generalized Yule-Walker-type equations for fitting ‘‘hidden’’ Multivariate Autoregressive models. We use this new framework to perform Granger causality analysis in order to extract the directed information flow pattern in networks of simulated spiking neurons. We discuss the relative merits and limitations of the new method.

  4. Autoregressive hidden Markov models for the early detection of neonatal sepsis.

    Science.gov (United States)

    Stanculescu, Ioan; Williams, Christopher K I; Freer, Yvonne

    2014-09-01

    Late onset neonatal sepsis is one of the major clinical concerns when premature babies receive intensive care. Current practice relies on slow laboratory testing of blood cultures for diagnosis. A valuable research question is whether sepsis can be reliably detected before the blood sample is taken. This paper investigates the extent to which physiological events observed in the patient's monitoring traces could be used for the early detection of neonatal sepsis. We model the distribution of these events with an autoregressive hidden Markov model (AR-HMM). Both learning and inference carefully use domain knowledge to extract the baby's true physiology from the monitoring data. Our model can produce real-time predictions about the onset of the infection and also handles missing data. We evaluate the effectiveness of the AR-HMM for sepsis detection on a dataset collected from the Neonatal Intensive Care Unit at the Royal Infirmary of Edinburgh.

  5. Microenvironment temperature prediction between body and seat interface using autoregressive data-driven model.

    Science.gov (United States)

    Liu, Zhuofu; Wang, Lin; Luo, Zhongming; Heusch, Andrew I; Cascioli, Vincenzo; McCarthy, Peter W

    2015-11-01

    There is a need to develop a greater understanding of temperature at the skin-seat interface during prolonged seating from the perspectives of both industrial design (comfort/discomfort) and medical care (skin ulcer formation). Here we test the concept of predicting temperature at the seat surface and skin interface during prolonged sitting (such as required from wheelchair users). As caregivers are usually busy, such a method would give them warning ahead of a problem. This paper describes a data-driven model capable of predicting thermal changes and thus having the potential to provide an early warning (15- to 25-min ahead prediction) of an impending temperature that may increase the risk for potential skin damages for those subject to enforced sitting and who have little or no sensory feedback from this area. Initially, the oscillations of the original signal are suppressed using the reconstruction strategy of empirical mode decomposition (EMD). Consequentially, the autoregressive data-driven model can be used to predict future thermal trends based on a shorter period of acquisition, which reduces the possibility of introducing human errors and artefacts associated with longer duration "enforced" sitting by volunteers. In this study, the method had a maximum predictive error of <0.4 °C when used to predict the temperature at the seat and skin interface 15 min ahead, but required 45 min data prior to give this accuracy. Although the 45 min front loading of data appears large (in proportion to the 15 min prediction), a relative strength derives from the fact that the same algorithm could be used on the other 4 sitting datasets created by the same individual, suggesting that the period of 45 min required to train the algorithm is transferable to other data from the same individual. This approach might be developed (along with incorporation of other measures such as movement and humidity) into a system that can give caregivers prior warning to help avoid

  6. A fault diagnosis methodology for rolling element bearings based on advanced signal pretreatment and autoregressive modelling

    Science.gov (United States)

    Al-Bugharbee, Hussein; Trendafilova, Irina

    2016-05-01

    This study proposes a methodology for rolling element bearings fault diagnosis which gives a complete and highly accurate identification of the faults present. It has two main stages: signals pretreatment, which is based on several signal analysis procedures, and diagnosis, which uses a pattern-recognition process. The first stage is principally based on linear time invariant autoregressive modelling. One of the main contributions of this investigation is the development of a pretreatment signal analysis procedure which subjects the signal to noise cleaning by singular spectrum analysis and then stationarisation by differencing. So the signal is transformed to bring it close to a stationary one, rather than complicating the model to bring it closer to the signal. This type of pretreatment allows the use of a linear time invariant autoregressive model and improves its performance when the original signals are non-stationary. This contribution is at the heart of the proposed method, and the high accuracy of the diagnosis is a result of this procedure. The methodology emphasises the importance of preliminary noise cleaning and stationarisation. And it demonstrates that the information needed for fault identification is contained in the stationary part of the measured signal. The methodology is further validated using three different experimental setups, demonstrating very high accuracy for all of the applications. It is able to correctly classify nearly 100 percent of the faults with regard to their type and size. This high accuracy is the other important contribution of this methodology. Thus, this research suggests a highly accurate methodology for rolling element bearing fault diagnosis which is based on relatively simple procedures. This is also an advantage, as the simplicity of the individual processes ensures easy application and the possibility for automation of the entire process.

  7. Accelerometer signal-based human activity recognition using augmented autoregressive model coefficients and artificial neural nets.

    Science.gov (United States)

    Khan, A M; Lee, Y K; Kim, T S

    2008-01-01

    Automatic recognition of human activities is one of the important and challenging research areas in proactive and ubiquitous computing. In this work, we present some preliminary results of recognizing human activities using augmented features extracted from the activity signals measured using a single triaxial accelerometer sensor and artificial neural nets. The features include autoregressive (AR) modeling coefficients of activity signals, signal magnitude areas (SMA), and title angles (TA). We have recognized four human activities using AR coefficients (ARC) only, ARC with SMA, and ARC with SMA and TA. With the last augmented features, we have achieved the recognition rate above 99% for all four activities including lying, standing, walking, and running. With our proposed technique, real time recognition of some human activities is possible.

  8. Classification of event-related potentials using multivariate autoregressive modeling combined with simulated annealing

    Directory of Open Access Journals (Sweden)

    Vasios C.E.

    2003-01-01

    Full Text Available In the present work, a new method for the classification of Event Related Potentials (ERPs is proposed. The proposed method consists of two modules: the feature extraction module and the classification module. The feature extraction module comprises the implementation of the Multivariate Autoregressive model in conjunction with the Simulated Annealing technique, for the selection of optimum features from ERPs. The classification module is implemented with a single three-layer neural network, trained with the back-propagation algorithm and classifies the data into two classes: patients and control subjects. The method, in the form of a Decision Support System (DSS, has been thoroughly tested to a number of patient data (OCD, FES, depressives and drug users, resulting successful classification up to 100%.

  9. Testing the Causal Links between School Climate, School Violence, and School Academic Performance: A Cross-Lagged Panel Autoregressive Model

    Science.gov (United States)

    Benbenishty, Rami; Astor, Ron Avi; Roziner, Ilan; Wrabel, Stephani L.

    2016-01-01

    The present study explores the causal link between school climate, school violence, and a school's general academic performance over time using a school-level, cross-lagged panel autoregressive modeling design. We hypothesized that reductions in school violence and climate improvement would lead to schools' overall improved academic performance.…

  10. Time-varying autoregressive model for spectral analysis of microseismic experiments and long-period volcanic events

    Science.gov (United States)

    Tary, J. B.; Herrera, R. H.; van der Baan, M.

    2014-01-01

    Recent studies show that the frequency content of continuous passive recordings contains useful information for the study of hydraulic fracturing experiments as well as longstanding applications in volcano and global seismology. The short-time Fourier transform (STFT) is usually used to obtain the time-frequency representation of a seismic trace. Yet, this transform has two main disadvantages, namely its fixed time-frequency resolution and spectral leakage. Here, we describe two methods based on autoregressive (AR) models: the short-time autoregressive method (ST-AR) and the Kalman smoother (KS). These two methods allow for the AR coefficients to vary over time in order to follow time-varying frequency contents. The outcome of AR methods depends mainly on the number of AR coefficients. We use a robust approach to estimate the optimum order of the AR methods that best matches the spectral comparison between Fourier and AR spectra. Comparing the outcomes of the three methods on a synthetic signal, a long-period volcanic event, and microseismic data, we show that the STFT and both AR methods are able to track fast changes in frequency content. The STFT provides reasonable results even for noisy data using a simple and effective algorithm. The coefficients of the AR filter are defined at all time in the case of the KS. However, its better time resolution is slightly offset by a lower frequency resolution and its computational complexity. The ST-AR has a high spectral resolution and the lowest sensitivity to background noises, facilitating the identification of the various frequency components. The estimated AR coefficients can also be used to extract parts of the signal. The study of long-term phenomena, such as resonance frequencies, or transient events, such as long-period events, could help to gain further insight on reservoir deformation during hydraulic fracturing experiments as well as global or volcano seismological signals.

  11. Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models (Subsequently replaced by DP 2008-53)

    NARCIS (Netherlands)

    Drost, F.C.; van den Akker, R.; Werker, B.J.M.

    2007-01-01

    Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integer-valued phenomena that evolve over time. The distribution of an INAR(p) process is essentially described by two parameters: a vector of autoregression coefficients and a probability distribution on the no

  12. Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23)

    NARCIS (Netherlands)

    Drost, F.C.; van den Akker, R.; Werker, B.J.M.

    2008-01-01

    Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integer-valued phenomena that evolve over time. The distribution of an INAR(p) process is essentially described by two parameters: a vector of autoregression coefficients and a probability distribution on the no

  13. Assessment and prediction of air quality using fuzzy logic and autoregressive models

    Science.gov (United States)

    Carbajal-Hernández, José Juan; Sánchez-Fernández, Luis P.; Carrasco-Ochoa, Jesús A.; Martínez-Trinidad, José Fco.

    2012-12-01

    In recent years, artificial intelligence methods have been used for the treatment of environmental problems. This work, presents two models for assessment and prediction of air quality. First, we develop a new computational model for air quality assessment in order to evaluate toxic compounds that can harm sensitive people in urban areas, affecting their normal activities. In this model we propose to use a Sigma operator to statistically asses air quality parameters using their historical data information and determining their negative impact in air quality based on toxicity limits, frequency average and deviations of toxicological tests. We also introduce a fuzzy inference system to perform parameter classification using a reasoning process and integrating them in an air quality index describing the pollution levels in five stages: excellent, good, regular, bad and danger, respectively. The second model proposed in this work predicts air quality concentrations using an autoregressive model, providing a predicted air quality index based on the fuzzy inference system previously developed. Using data from Mexico City Atmospheric Monitoring System, we perform a comparison among air quality indices developed for environmental agencies and similar models. Our results show that our models are an appropriate tool for assessing site pollution and for providing guidance to improve contingency actions in urban areas.

  14. Quantifying effects of abiotic and biotic drivers on community dynamics with multivariate autoregressive (MAR) models.

    Science.gov (United States)

    Hampton, Stephanie E; Holmes, Elizabeth E; Scheef, Lindsay P; Scheuerell, Mark D; Katz, Stephen L; Pendleton, Daniel E; Ward, Eric J

    2013-12-01

    Long-term ecological data sets present opportunities for identifying drivers of community dynamics and quantifying their effects through time series analysis. Multivariate autoregressive (MAR) models are well known in many other disciplines, such as econometrics, but widespread adoption of MAR methods in ecology and natural resource management has been much slower despite some widely cited ecological examples. Here we review previous ecological applications of MAR models and highlight their ability to identify abiotic and biotic drivers of population dynamics, as well as community-level stability metrics, from long-term empirical observations. Thus far, MAR models have been used mainly with data from freshwater plankton communities; we examine the obstacles that may be hindering adoption in other systems and suggest practical modifications that will improve MAR models for broader application. Many of these modifications are already well known in other fields in which MAR models are common, although they are frequently described under different names. In an effort to make MAR models more accessible to ecologists, we include a worked example using recently developed R packages (MAR1 and MARSS), freely available and open-access software.

  15. Consistent and Conservative Model Selection with the Adaptive LASSO in Stationary and Nonstationary Autoregressions

    DEFF Research Database (Denmark)

    Kock, Anders Bredahl

    2015-01-01

    We show that the adaptive Lasso is oracle efficient in stationary and nonstationary autoregressions. This means that it estimates parameters consistently, selects the correct sparsity pattern, and estimates the coefficients belonging to the relevant variables at the same asymptotic efficiency...

  16. One day prediction of nighttime VLF amplitudes using nonlinear autoregression and neural network modeling

    Science.gov (United States)

    Santosa, H.; Hobara, Y.

    2017-01-01

    The electric field amplitude of very low frequency (VLF) transmitter from Hawaii (NPM) has been continuously recorded at Chofu (CHF), Tokyo, Japan. The VLF amplitude variability indicates lower ionospheric perturbation in the D region (60-90 km altitude range) around the NPM-CHF propagation path. We carried out the prediction of daily nighttime mean VLF amplitude by using Nonlinear Autoregressive with Exogenous Input Neural Network (NARX NN). The NARX NN model, which was built based on the daily input variables of various physical parameters such as stratospheric temperature, total column ozone, cosmic rays, Dst, and Kp indices possess good accuracy during the model building. The fitted model was constructed within the training period from 1 January 2011 to 4 February 2013 by using three algorithms, namely, Bayesian Neural Network (BRANN), Levenberg Marquardt Neural Network (LMANN), and Scaled Conjugate Gradient (SCG). The LMANN has the largest Pearson correlation coefficient (r) of 0.94 and smallest root-mean-square error (RMSE) of 1.19 dB. The constructed models by using LMANN were applied to predict the VLF amplitude from 5 February 2013 to 31 December 2013. As a result the one step (1 day) ahead predicted nighttime VLF amplitude has the r of 0.93 and RMSE of 2.25 dB. We conclude that the model built according to the proposed methodology provides good predictions of the electric field amplitude of VLF waves for NPM-CHF (midlatitude) propagation path.

  17. CARBayes: An R Package for Bayesian Spatial Modeling with Conditional Autoregressive Priors

    Directory of Open Access Journals (Sweden)

    Duncan Lee

    2013-11-01

    Full Text Available Conditional autoregressive models are commonly used to represent spatial autocorrelation in data relating to a set of non-overlapping areal units, which arise in a wide variety of applications including agriculture, education, epidemiology and image analysis. Such models are typically specified in a hierarchical Bayesian framework, with inference based on Markov chain Monte Carlo (MCMC simulation. The most widely used software to fit such models is WinBUGS or OpenBUGS, but in this paper we introduce the R package CARBayes. The main advantage of CARBayes compared with the BUGS software is its ease of use, because: (1 the spatial adjacency information is easy to specify as a binary neighbourhood matrix; and (2 given the neighbourhood matrix the models can be implemented by a single function call in R. This paper outlines the general class of Bayesian hierarchical models that can be implemented in the CARBayes software, describes their implementation via MCMC simulation techniques, and illustrates their use with two worked examples in the fields of house price analysis and disease mapping.

  18. Modeling Polio Data Using the First Order Non-Negative Integer-Valued Autoregressive, INAR(1), Model

    Science.gov (United States)

    Vazifedan, Turaj; Shitan, Mahendran

    Time series data may consists of counts, such as the number of road accidents, the number of patients in a certain hospital, the number of customers waiting for service at a certain time and etc. When the value of the observations are large it is usual to use Gaussian Autoregressive Moving Average (ARMA) process to model the time series. However if the observed counts are small, it is not appropriate to use ARMA process to model the observed phenomenon. In such cases we need to model the time series data by using Non-Negative Integer valued Autoregressive (INAR) process. The modeling of counts data is based on the binomial thinning operator. In this paper we illustrate the modeling of counts data using the monthly number of Poliomyelitis data in United States between January 1970 until December 1983. We applied the AR(1), Poisson regression model and INAR(1) model and the suitability of these models were assessed by using the Index of Agreement(I.A.). We found that INAR(1) model is more appropriate in the sense it had a better I.A. and it is natural since the data are counts.

  19. Detection of shallow buried objects using an autoregressive model on the ground penetrating radar signal

    Science.gov (United States)

    Nabelek, Daniel P.; Ho, K. C.

    2013-06-01

    The detection of shallow buried low-metal content objects using ground penetrating radar (GPR) is a challenging task. This is because these targets are right underneath the ground and the ground bounce reflection interferes with their detections. They do not create distinctive hyperbolic signatures as required by most existing GPR detection algorithms due to their special geometric shapes and low metal content. This paper proposes the use of the Autoregressive (AR) modeling method for the detection of these targets. We fit an A-scan of the GPR data to an AR model. It is found that the fitting error will be small when such a target is present and large when it is absent. The ratio of the energy in an Ascan before and after AR model fitting is used as the confidence value for detection. We also apply AR model fitting over scans and utilize the fitting residual energies over several scans to form a feature vector for improving the detections. Using the data collected from a government test site, the proposed method can improve the detection of this kind of targets by 30% compared to the pre-screener, at a false alarm rate of 0.002/m2.

  20. Relationship between Remittance and Economic Growth in Bangladesh: an Autoregressive Distributed Lag Model (ARDL

    Directory of Open Access Journals (Sweden)

    Shapan Chandra Majumder

    2016-03-01

    Full Text Available This study examines the long-run impact of remittances on economic growth in Bangladesh. Bangladesh, being one of the top remittance-recipient countries in the world, has drawn attention to the remittance-output relationship in recent years. In 2014, remittances contributed to 8.2% of GDP of Bangladesh while the contribution was 6.7% in 2006. The main objective of this study is to investigate the impact of the remittance on economic growth (GDP. We adopted Autoregressive Distributed Lag (ARDL models or dynamic linear regressions are widely used to examine the relationship between remittances and economic growth in the country. In testing for the unit root properties of the time series data, all variables are found stationary at first differencing level under the ADF and PP stationary tests. The study made use of diagnostic tests such as the residual normality test, heteroskedacity and serial autocorrelation tests for misspecification in order to validate the parameter estimation outcomes achieved by the estimated model. The stability test of the model is also checked by CUSUM test. The ARDL model presents that there exist a statistically significant long run positive relationship between remittance and economic growth of gross domestic product in Bangladesh.

  1. A Ramp Cosine Cepstrum Model for the Parameter Estimation of Autoregressive Systems at Low SNR

    Directory of Open Access Journals (Sweden)

    Zhu Wei-Ping

    2010-01-01

    Full Text Available A new cosine cepstrum model-based scheme is presented for the parameter estimation of a minimum-phase autoregressive (AR system under low levels of signal-to-noise ratio (SNR. A ramp cosine cepstrum (RCC model for the one-sided autocorrelation function (OSACF of an AR signal is first proposed by considering both white noise and periodic impulse-train excitations. Using the RCC model, a residue-based least-squares optimization technique that guarantees the stability of the system is then presented in order to estimate the AR parameters from noisy output observations. For the purpose of implementation, the discrete cosine transform, which can efficiently handle the phase unwrapping problem and offer computational advantages as compared to the discrete Fourier transform, is employed. From extensive experimentations on AR systems of different orders, it is shown that the proposed method is capable of estimating parameters accurately and consistently in comparison to some of the existing methods for the SNR levels as low as −5 dB. As a practical application of the proposed technique, simulation results are also provided for the identification of a human vocal tract system using noise-corrupted natural speech signals demonstrating a superior estimation performance in terms of the power spectral density of the synthesized speech signals.

  2. CONSTRUCTION OF POLYNOMIAL MATRIX USING BLOCK COEFFICIENT MATRIX REPRESENTATION AUTO-REGRESSIVE MOVING AVERAGE MODEL FOR ACTIVELY CONTROLLED STRUCTURES

    Institute of Scientific and Technical Information of China (English)

    LI Chunxiang; ZHOU Dai

    2004-01-01

    The polynomial matrix using the block coefficient matrix representation auto-regressive moving average (referred to as the PM-ARMA) model is constructed in this paper for actively controlled multi-degree-of-freedom (MDOF) structures with time-delay through equivalently transforming the preliminary state space realization into the new state space realization. The PM-ARMA model is a more general formulation with respect to the polynomial using the coefficient representation auto-regressive moving average (ARMA) model due to its capability to cope with actively controlled structures with any given structural degrees of freedom and any chosen number of sensors and actuators. (The sensors and actuators are required to maintain the identical number.) under any dimensional stationary stochastic excitation.

  3. Linking Simple Economic Theory Models and the Cointegrated Vector AutoRegressive Model

    DEFF Research Database (Denmark)

    Møller, Niels Framroze

    This paper attempts to clarify the connection between simple economic theory models and the approach of the Cointegrated Vector-Auto-Regressive model (CVAR). By considering (stylized) examples of simple static equilibrium models, it is illustrated in detail, how the theoretical model and its...

  4. Estimation of rotor effective wind speeds using autoregressive models on Lidar data

    Science.gov (United States)

    Giyanani, A.; Bierbooms, W. A. A. M.; van Bussel, G. J. W.

    2016-09-01

    Lidars have become increasingly useful for providing accurate wind speed measurements in front of the wind turbine. The wind field measured at distant meteorological masts changes its structure or was too distorted before it reaches the turbine. Thus, one cannot simply apply Taylor's frozen turbulence for representing this distant flow field at the rotor. Wind turbine controllers can optimize the energy output and reduce the loads significantly, if the wind speed estimates were known in advance with high accuracy and low uncertainty. The current method to derive wind speed estimations from aerodynamic torque, pitch angle and tip speed ratio after the wind field flows past the turbine and have their limitations, e.g. in predicting gusts. Therefore, an estimation model coupled with the measuring capability of nacelle based Lidars was necessary for detecting extreme events and for estimating accurate wind speeds at the rotor disc. Nacelle-mounted Lidars measure the oncoming wind field from utpo 400m(5D) in front of the turbine and appropriate models could be used for deriving the rotor effective wind speed from these measurements. This article proposes an auto-regressive model combined with a method to include the blockage factor in order to estimate the wind speeds accurately using Lidar measurements. An Armax model was used to determine the transfer function that models the physical evolution of wind towards the wind turbine, incorporating the effect of surface roughness, wind shear and wind variability at the site. The model could incorporate local as well as global effects and was able to predict the rotor effective wind speeds with adequate accuracy for wind turbine control actions. A high correlation of 0.86 was achieved as the Armax modelled signal was compared to a reference signal. The model could also be extended to estimate the damage potential during high wind speeds, gusts or abrupt change in wind directions, allowing the controller to act appropriately

  5. Dynamic RSA: Examining parasympathetic regulatory dynamics via vector-autoregressive modeling of time-varying RSA and heart period.

    Science.gov (United States)

    Fisher, Aaron J; Reeves, Jonathan W; Chi, Cyrus

    2016-07-01

    Expanding on recently published methods, the current study presents an approach to estimating the dynamic, regulatory effect of the parasympathetic nervous system on heart period on a moment-to-moment basis. We estimated second-to-second variation in respiratory sinus arrhythmia (RSA) in order to estimate the contemporaneous and time-lagged relationships among RSA, interbeat interval (IBI), and respiration rate via vector autoregression. Moreover, we modeled these relationships at lags of 1 s to 10 s, in order to evaluate the optimal latency for estimating dynamic RSA effects. The IBI (t) on RSA (t-n) regression parameter was extracted from individual models as an operationalization of the regulatory effect of RSA on IBI-referred to as dynamic RSA (dRSA). Dynamic RSA positively correlated with standard averages of heart rate and negatively correlated with standard averages of RSA. We propose that dRSA reflects the active downregulation of heart period by the parasympathetic nervous system and thus represents a novel metric that provides incremental validity in the measurement of autonomic cardiac control-specifically, a method by which parasympathetic regulatory effects can be measured in process.

  6. Coal Consumption Reduction in Shandong Province: A Dynamic Vector Autoregression Model

    Directory of Open Access Journals (Sweden)

    Chun Deng

    2016-08-01

    Full Text Available Coal consumption and carbon dioxide emissions from coal combustion in China are attracting increasing attention worldwide. Between 1990 and 2013, the coal consumption in Shandong Province increased by approximately 5.29 times. Meanwhile, the proportion of coal consumption of Shandong Province to China rose from 7.6% to 10.8%, and to the world, it rose from 1.8% to 5.5%. Identifying the drivers of coal consumption in Shandong Province is vital for developing effective environmental policies. This paper uses the Vector Autoregression model to analyze the influencing factors of coal consumption in Shandong Province. The results show that industrialization plays a dominant role in increasing coal consumption. Conversely, coal efficiency is the key factor to curtailing coal consumption. Although there is a rebound effect of coal efficiency in the short term, from a long-term perspective, coal efficiency will reduce coal consumption gradually. Both economic growth and urbanization have a significant effect on coal consumption in Shandong Province. In addition, the substitution effect of oil to coal has not yet met expectations. These findings are important for relevant authorities in Shandong in developing appropriate policies to halt the growth of coal consumption.

  7. Prediction of MeV electron fluxes throughout the outer radiation belt using multivariate autoregressive models

    Science.gov (United States)

    Sakaguchi, Kaori; Nagatsuma, Tsutomu; Reeves, Geoffrey D.; Spence, Harlan E.

    2015-12-01

    The Van Allen radiation belts surrounding the Earth are filled with MeV-energy electrons. This region poses ionizing radiation risks for spacecraft that operate within it, including those in geostationary orbit (GEO) and medium Earth orbit. To provide alerts of electron flux enhancements, 16 prediction models of the electron log-flux variation throughout the equatorial outer radiation belt as a function of the McIlwain L parameter were developed using the multivariate autoregressive model and Kalman filter. Measurements of omnidirectional 2.3 MeV electron flux from the Van Allen Probes mission as well as >2 MeV electrons from the GOES 15 spacecraft were used as the predictors. Model explanatory parameters were selected from solar wind parameters, the electron log-flux at GEO, and geomagnetic indices. For the innermost region of the outer radiation belt, the electron flux is best predicted by using the Dst index as the sole input parameter. For the central to outermost regions, at L ≧ 4.8 and L ≧ 5.6, the electron flux is predicted most accurately by including also the solar wind velocity and then the dynamic pressure, respectively. The Dst index is the best overall single parameter for predicting at 3 ≦ L ≦ 6, while for the GEO flux prediction, the KP index is better than Dst. A test calculation demonstrates that the model successfully predicts the timing and location of the flux maximum as much as 2 days in advance and that the electron flux decreases faster with time at higher L values, both model features consistent with the actually observed behavior.

  8. THE CAUSALITY BETWEEN INCOME AND ENERGY CONSUMPTION: A PANEL VECTOR AUTOREGRESSIVE APPROACH

    Directory of Open Access Journals (Sweden)

    Tony Irawan

    2011-08-01

    Full Text Available Normal 0 false false false MicrosoftInternetExplorer4 /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Table Normal"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-parent:""; mso-padding-alt:0cm 5.4pt 0cm 5.4pt; mso-para-margin:0cm; mso-para-margin-bottom:.0001pt; mso-pagination:widow-orphan; font-size:10.0pt; font-family:"Times New Roman"; mso-ansi-language:#0400; mso-fareast-language:#0400; mso-bidi-language:#0400;} Hubungan sebab-akibat antara pemakaian energi dan pemasukan (produk domestik kotor telah menjadi isu yang sangat penting di bidang ekonomi. Banyak penelitian yang telah dilakukan dan hasilnya beragam dan berlawanan. Dari hasil penelitian menunjukkan bahwa tidak ada hubungan sebab-akibat yang jelas antara kedua variabel tersebut. Penelitian ini bertujuan untuk melakukan investigasi ulang hubungan sebab-akibat tersebut dengan mengaplikasikan metode panel vector autoregressive kepada data dari enam negara terpadat populasinya di dunia. Selain itu, penelitian ini juga menggunakan impulse response function dan variance decomposition. Hasilnya menunjukkan bahwa adanya hubungan sebab-akibat tidak langsung dari pemakaian energi ke pemasukan. Goncangan pemakaian energi mempunyai efek yang positif dan dapat menjelaskan kira-kira 18,7 persen varian pemasukan.

  9. Mindfulness training promotes upward spirals of positive affect and cognition: multilevel and autoregressive latent trajectory modeling analyses

    Science.gov (United States)

    Garland, Eric L.; Geschwind, Nicole; Peeters, Frenk; Wichers, Marieke

    2015-01-01

    Recent theory suggests that positive psychological processes integral to health may be energized through the self-reinforcing dynamics of an upward spiral to counter emotion dysregulation. The present study examined positive emotion–cognition interactions among individuals in partial remission from depression who had been randomly assigned to treatment with mindfulness-based cognitive therapy (MBCT; n = 64) or a waitlist control condition (n = 66). We hypothesized that MBCT stimulates upward spirals by increasing positive affect and positive cognition. Experience sampling assessed changes in affect and cognition during 6 days before and after treatment, which were analyzed with a series of multilevel and autoregressive latent trajectory models. Findings suggest that MBCT was associated with significant increases in trait positive affect and momentary positive cognition, which were preserved through autoregressive and cross-lagged effects driven by global emotional tone. Findings suggest that daily positive affect and cognition are maintained by an upward spiral that might be promoted by mindfulness training. PMID:25698988

  10. Mindfulness training promotes upward spirals of positive affect and cognition: multilevel and autoregressive latent trajectory modeling analyses.

    Science.gov (United States)

    Garland, Eric L; Geschwind, Nicole; Peeters, Frenk; Wichers, Marieke

    2015-01-01

    Recent theory suggests that positive psychological processes integral to health may be energized through the self-reinforcing dynamics of an upward spiral to counter emotion dysregulation. The present study examined positive emotion-cognition interactions among individuals in partial remission from depression who had been randomly assigned to treatment with mindfulness-based cognitive therapy (MBCT; n = 64) or a waitlist control condition (n = 66). We hypothesized that MBCT stimulates upward spirals by increasing positive affect and positive cognition. Experience sampling assessed changes in affect and cognition during 6 days before and after treatment, which were analyzed with a series of multilevel and autoregressive latent trajectory models. Findings suggest that MBCT was associated with significant increases in trait positive affect and momentary positive cognition, which were preserved through autoregressive and cross-lagged effects driven by global emotional tone. Findings suggest that daily positive affect and cognition are maintained by an upward spiral that might be promoted by mindfulness training.

  11. Prediction of Above-elbow Motions in Amputees, based on Electromyographic(EMG Signals, Using Nonlinear Autoregressive Exogenous (NARX Model

    Directory of Open Access Journals (Sweden)

    Ali Akbar Akbari

    2014-08-01

    Full Text Available Introduction In order to improve the quality of life of amputees, biomechatronic researchers and biomedical engineers have been trying to use a combination of various techniques to provide suitable rehabilitation systems. Diverse biomedical signals, acquired from a specialized organ or cell system, e.g., the nervous system, are the driving force for the whole system. Electromyography(EMG, as an experimental technique,is concerned with the development, recording, and analysis of myoelectric signals. EMG-based research is making progress in the development of simple, robust, user-friendly, and efficient interface devices for the amputees. Materials and Methods Prediction of muscular activity and motion patterns is a common, practical problem in prosthetic organs. Recurrent neural network (RNN models are not only applicable for the prediction of time series, but are also commonly used for the control of dynamical systems. The prediction can be assimilated to identification of a dynamic process. An architectural approach of RNN with embedded memory is Nonlinear Autoregressive Exogenous (NARX model, which seems to be suitable for dynamic system applications. Results Performance of NARX model is verified for several chaotic time series, which are applied as input for the neural network. The results showed that NARX has the potential to capture the model of nonlinear dynamic systems. The R-value and MSE are  and  , respectively. Conclusion  EMG signals of deltoid and pectoralis major muscles are the inputs of the NARX  network. It is possible to obtain EMG signals of muscles in other arm motions to predict the lost functions of the absent arm in above-elbow amputees, using NARX model.

  12. On the Mathematical Relationship Between Latent Change Score and Autoregressive Cross-Lagged Factor Approaches: Cautions for Inferring Causal Relationship Between Variables.

    Science.gov (United States)

    Usami, Satoshi; Hayes, Timothy; McArdle, John J

    2015-01-01

    The present paper focuses on the relationship between latent change score (LCS) and autoregressive cross-lagged (ARCL) factor models in longitudinal designs. These models originated from different theoretical traditions for different analytic purposes, yet they share similar mathematical forms. In this paper, we elucidate the mathematical relationship between these models and show that the LCS model is reduced to the ARCL model when fixed effects are assumed in the slope factor scores. Additionally, we provide an applied example using height and weight data from a gerontological study. Throughout the example, we emphasize caution in choosing which model (ARCL or LCS) to apply due to the risk of obtaining misleading results concerning the presence and direction of causal precedence between two variables. We suggest approaching model specification not only by comparing estimates and fit indices between the LCS and ARCL models (as well as other models) but also by giving appropriate weight to substantive and theoretical considerations, such as assessing the justifiability of the assumption of random effects in the slope factor scores.

  13. Linking Simple Economic Theory Models and the Cointegrated Vector AutoRegressive Model

    DEFF Research Database (Denmark)

    Møller, Niels Framroze

    This paper attempts to clarify the connection between simple economic theory models and the approach of the Cointegrated Vector-Auto-Regressive model (CVAR). By considering (stylized) examples of simple static equilibrium models, it is illustrated in detail, how the theoretical model and its stru....... Further fundamental extensions and advances to more sophisticated theory models, such as those related to dynamics and expectations (in the structural relations) are left for future papers......This paper attempts to clarify the connection between simple economic theory models and the approach of the Cointegrated Vector-Auto-Regressive model (CVAR). By considering (stylized) examples of simple static equilibrium models, it is illustrated in detail, how the theoretical model and its......, it is demonstrated how other controversial hypotheses such as Rational Expectations can be formulated directly as restrictions on the CVAR-parameters. A simple example of a "Neoclassical synthetic" AS-AD model is also formulated. Finally, the partial- general equilibrium distinction is related to the CVAR as well...

  14. Application of a New Hybrid Model with Seasonal Auto-Regressive Integrated Moving Average (ARIMA) and Nonlinear Auto-Regressive Neural Network (NARNN) in Forecasting Incidence Cases of HFMD in Shenzhen, China

    OpenAIRE

    Lijing Yu; Lingling Zhou; Li Tan; Hongbo Jiang; Ying Wang; Sheng Wei; Shaofa Nie

    2014-01-01

    BACKGROUND: Outbreaks of hand-foot-mouth disease (HFMD) have been reported for many times in Asia during the last decades. This emerging disease has drawn worldwide attention and vigilance. Nowadays, the prevention and control of HFMD has become an imperative issue in China. Early detection and response will be helpful before it happening, using modern information technology during the epidemic. METHOD: In this paper, a hybrid model combining seasonal auto-regressive integrated moving average...

  15. Autoregressive with Exogenous Variables and Neural Network Short-Term Load Forecast Models for Residential Low Voltage Distribution Networks

    Directory of Open Access Journals (Sweden)

    Christopher Bennett

    2014-04-01

    Full Text Available This paper set out to identify the significant variables which affect residential low voltage (LV network demand and develop next day total energy use (NDTEU and next day peak demand (NDPD forecast models for each phase. The models were developed using both autoregressive integrated moving average with exogenous variables (ARIMAX and neural network (NN techniques. The data used for this research was collected from a LV transformer serving 128 residential customers. It was observed that temperature accounted for half of the residential LV network demand. The inclusion of the double exponential smoothing algorithm, autoregressive terms, relative humidity and day of the week dummy variables increased model accuracy. In terms of R2 and for each modelling technique and phase, NDTEU hindcast accuracy ranged from 0.77 to 0.87 and forecast accuracy ranged from 0.74 to 0.84. NDPD hindcast accuracy ranged from 0.68 to 0.74 and forecast accuracy ranged from 0.56 to 0.67. The NDTEU models were more accurate than the NDPD models due to the peak demand time series being more variable in nature. The NN models had slight accuracy gains over the ARIMAX models. A hybrid model was developed which combined the best traits of the ARIMAX and NN techniques, resulting in improved hindcast and forecast fits across the all three phases.

  16. The Effect of Nonzero Autocorrelation Coefficients on the Distributions of Durbin-Watson Test Estimator: Three Autoregressive Models

    Directory of Open Access Journals (Sweden)

    Mei-Yu LEE

    2014-11-01

    Full Text Available This paper investigates the effect of the nonzero autocorrelation coefficients on the sampling distributions of the Durbin-Watson test estimator in three time-series models that have different variance-covariance matrix assumption, separately. We show that the expected values and variances of the Durbin-Watson test estimator are slightly different, but the skewed and kurtosis coefficients are considerably different among three models. The shapes of four coefficients are similar between the Durbin-Watson model and our benchmark model, but are not the same with the autoregressive model cut by one-lagged period. Second, the large sample case shows that the three models have the same expected values, however, the autoregressive model cut by one-lagged period explores different shapes of variance, skewed and kurtosis coefficients from the other two models. This implies that the large samples lead to the same expected values, 2(1 – ρ0, whatever the variance-covariance matrix of the errors is assumed. Finally, comparing with the two sample cases, the shape of each coefficient is almost the same, moreover, the autocorrelation coefficients are negatively related with expected values, are inverted-U related with variances, are cubic related with skewed coefficients, and are U related with kurtosis coefficients.

  17. Comparison of two non-convex mixed-integer nonlinear programming algorithms applied to autoregressive moving average model structure and parameter estimation

    Science.gov (United States)

    Uilhoorn, F. E.

    2016-10-01

    In this article, the stochastic modelling approach proposed by Box and Jenkins is treated as a mixed-integer nonlinear programming (MINLP) problem solved with a mesh adaptive direct search and a real-coded genetic class of algorithms. The aim is to estimate the real-valued parameters and non-negative integer, correlated structure of stationary autoregressive moving average (ARMA) processes. The maximum likelihood function of the stationary ARMA process is embedded in Akaike's information criterion and the Bayesian information criterion, whereas the estimation procedure is based on Kalman filter recursions. The constraints imposed on the objective function enforce stability and invertibility. The best ARMA model is regarded as the global minimum of the non-convex MINLP problem. The robustness and computational performance of the MINLP solvers are compared with brute-force enumeration. Numerical experiments are done for existing time series and one new data set.

  18. Property and Application of the Causal Graphs of Structure Vector Autoregressive Model%结构向量自回归因果图的性质及应用

    Institute of Scientific and Technical Information of China (English)

    魏岳嵩

    2015-01-01

    文章利用图模型方法分析结构向量自回归模型变量间的因果性问题,构建结构向量自回归因果图,研究该因果图的性质,基于信息论方法建立了因果图结构辨识的三步准则,并用所给方法做了实例分析。%This paper explores how to use graphical modelling approach to analyze the causal relations among variables of structure vector autoregressive model. The causal graphs of structure vector autoregressive model is established and its properties are investigated. A three-step procedure based on information theory criteria is developed to identify the causal structure of the causal graphs.Finally,a case analysis is presented using the propose method.

  19. Vector Autoregression (Var Model for Rainfall Forecast and Isohyet Mapping in Semarang – Central Java – Indonesia

    Directory of Open Access Journals (Sweden)

    Adi Nugroho

    2014-11-01

    Full Text Available Agricultural and plantation activities in Indonesia, especially in Semarang, Central Java, Indonesia rely on water supply from the rainfall. The rainfall in the future is basically influenced by rainfall patterns, humidity and temperature in the past. In this case, Vector Autoregression (VAR multivariate model is applied to forecast the rainfall in the future, in which all along Indonesian Agency for Meteorology, Climatology and Geophysics (BMKG generally uses ARIMA model (Autoregressive Integrated Moving Average to carry out the same thing. The study applied the data, comprising the data of rainfall, humidity and temperature taken on a monthly basis during 2001-2013 periods from 5 measurement stations. Plotting of rainfall forecast result with VAR method is portrayed in the form of isohyet contour map to see the correlation between rainfall and coordinates of the area of the rainfall. The forecast result shows that VAR method is quite accurate to use for rainfall forecast in the study area as well as better than ARIMA method to forecast the same thing as having smaller Mean Absolute Error (MAE and Mean Absolute Percentage Error(MAPE.

  20. Mindfulness Training Promotes Upward Spirals of Positive Affect and Cognition: Multilevel and Autoregressive Latent Trajectory Modeling Analysis

    Directory of Open Access Journals (Sweden)

    Eric L Garland

    2015-02-01

    Full Text Available Recent theory suggests that positive psychological processes integral to health may be energized through the self-reinforcing dynamics of an upward spiral to counter emotion dysregulation. The present study examined positive emotion-cognition interactions among individuals in partial remission from depression who had been randomly assigned to treatment with mindfulness-based cognitive therapy (MBCT; n = 64 or a wait-list control condition (n = 66. We hypothesized that MBCT stimulates upward spirals by increasing positive affect and positive cognition. Experience sampling assessed changes in affect and cognition during 6 days before and after treatment, which were analyzed with a series of multilevel and autoregressive latent trajectory models. Findings suggest that MBCT was associated with significant increases in trait positive affect and momentary positive cognition, which were preserved through autoregressive and cross-lagged effects driven by global emotional tone. Findings suggest that daily positive affect and cognition are maintained by an upward spiral that might be promoted by mindfulness training.

  1. Oil Price Volatility and Economic Growth in Nigeria: a Vector Auto-Regression (VAR Approach

    Directory of Open Access Journals (Sweden)

    Edesiri Godsday Okoro

    2014-02-01

    Full Text Available The study examined oil price volatility and economic growth in Nigeria linking oil price volatility, crude oil prices, oil revenue and Gross Domestic Product. Using quarterly data sourced from the Central Bank of Nigeria (CBN Statistical Bulletin and World Bank Indicators (various issues spanning 1980-2010, a non‐linear model of oil price volatility and economic growth was estimated using the VAR technique. The study revealed that oil price volatility has significantly influenced the level of economic growth in Nigeria although; the result additionally indicated a negative relationship between the oil price volatility and the level of economic growth. Furthermore, the result also showed that the Nigerian economy survived on crude oil, to such extent that the country‘s budget is tied to particular price of crude oil. This is not a good sign for a developing economy, more so that the country relies almost entirely on revenue of the oil sector as a source of foreign exchange earnings. This therefore portends some dangers for the economic survival of Nigeria. It was recommended amongst others that there should be a strong need for policy makers to focus on policy that will strengthen/stabilize the economy with specific focus on alternative sources of government revenue. Finally, there should be reduction in monetization of crude oil receipts (fiscal discipline, aggressive saving of proceeds from oil booms in future in order to withstand vicissitudes of oil price volatility in future.

  2. KARMA: Kalman-based autoregressive moving average modeling and inference for formant and antiformant tracking

    CERN Document Server

    Mehta, Daryush D; Wolfe, Patrick J

    2011-01-01

    Vocal tract resonance characteristics in acoustic speech signals are classically tracked using frame-by-frame point estimates of formant frequencies followed by candidate selection and smoothing using dynamic programming methods that minimize ad hoc cost functions. The goal of the current work is to provide both point estimates and associated uncertainties of center frequencies and bandwidths in a statistically principled state-space framework. Extended Kalman (K) algorithms take advantage of a linearized mapping to infer formant and antiformant parameters from frame-based estimates of autoregressive moving average (ARMA) cepstral coefficients. Error analysis of KARMA, WaveSurfer, and Praat is accomplished in the all-pole case using a manually marked formant database and synthesized speech waveforms. KARMA formant tracks exhibit lower overall root-mean-square error relative to the two benchmark algorithms, with third formant tracking more challenging. Antiformant tracking performance of KARMA is illustrated u...

  3. Robust detection of gearbox deterioration using compromised autoregressive modeling and Kolmogorov Smirnov test statistic. Part II: Experiment and application

    Science.gov (United States)

    Zhan, Yimin; Mechefske, Chris K.

    2007-07-01

    Optimal maintenance decision analysis is heavily dependent on the accuracy of condition indicators. A condition indicator that is subject to such varying operating conditions as load is unable to provide precise condition information of the monitored object for making optimal operational maintenance decisions even if the maintenance program is established within a rigorous theoretical framework. For this reason, the performance of condition monitoring techniques applied to rotating machinery under varying load conditions has been a long-term concern and has attracted intensive research interest. Part I of this study proposed a novel technique based on adaptive autoregressive modeling and hypothesis tests. The method is able to automatically search for the optimal time-series model order and establish a compromised autoregressive model fitting based on the healthy gear motion residual signals under varying load conditions. The condition of the monitored gearbox is numerically represented by a modified Kolmogorov-Smirnov test statistic. Part II of this study is devoted to applications of the proposed technique to entire lifetime condition detection of three gearboxes with distinct physical specifications, distinct load conditions, and distinct failure modes. A comprehensive and thorough comparative study is conducted between the proposed technique and several counterparts. The detection technique is further enhanced by a proposed method to automatically identify and generate fault alerts with the aid of the Wilcoxon rank-sum test and thus requires no supervision from maintenance personnel. Experimental analysis demonstrated that the proposed technique applied to automatic identification and generation of fault alerts also features two highly desirable properties, i.e. few false alerts and early alert for incipient faults. Furthermore, it is found that the proposed technique is able to identify two types of abnormalities, i.e. strong ghost components abruptly

  4. Valuing structure, model uncertainty and model averaging in vector autoregressive processes

    NARCIS (Netherlands)

    R.W. Strachan (Rodney); H.K. van Dijk (Herman)

    2004-01-01

    textabstractEconomic policy decisions are often informed by empirical analysis based on accurate econometric modeling. However, a decision-maker is usually only interested in good estimates of outcomes, while an analyst must also be interested in estimating the model. Accurate inference on structura

  5. Adaptive modelling and forecasting of offshore wind power fluctuations with Markov-switching autoregressive models

    DEFF Research Database (Denmark)

    Pinson, Pierre; Madsen, Henrik

    2012-01-01

    optimized is based on penalized maximum likelihood, with exponential forgetting of past observations. MSAR models are then employed for one-step-ahead point forecasting of 10 min resolution time series of wind power at two large offshore wind farms. They are favourably compared against persistence...

  6. Adaptive modelling and forecasting of offshore wind power fluctuations with Markov-switching autoregressive models

    DEFF Research Database (Denmark)

    Pinson, Pierre; Madsen, Henrik

    optimized is based on penalized maximum-likelihood, with exponential forgetting of past observations. MSAR models are then employed for 1-step-ahead point forecasting of 10-minute resolution time-series of wind power at two large offshore wind farms. They are favourably compared against persistence and Auto...

  7. Acoustic monitoring of sodium boiling in a liquid metal fast breeder reactor from autoregressive models

    Energy Technology Data Exchange (ETDEWEB)

    Geraldo, Issa Cherif [Laboratoire d’Automatique, Génie Informatique et Signal (LAGIS UMR CNRS 8219), Université Lille 1, Sciences et technologies, Avenue Paul Langevin, BP 48, 59651 Villeneuve d’Ascq CEDEX (France); Bose, Tanmoy [Indian Institute of Technology Kharagpur, Kharagpur 721302, West Bengal (India); Pekpe, Komi Midzodzi, E-mail: midzodzi.pekpe@univ-lille1.fr [Laboratoire d’Automatique, Génie Informatique et Signal (LAGIS UMR CNRS 8219), Université Lille 1, Sciences et technologies, Avenue Paul Langevin, BP 48, 59651 Villeneuve d’Ascq CEDEX (France); Cassar, Jean-Philippe [Laboratoire d’Automatique, Génie Informatique et Signal (LAGIS UMR CNRS 8219), Université Lille 1, Sciences et technologies, Avenue Paul Langevin, BP 48, 59651 Villeneuve d’Ascq CEDEX (France); Mohanty, A.R. [Indian Institute of Technology Kharagpur, Kharagpur 721302, West Bengal (India); Paumel, Kévin [CEA, DEN, Nuclear Technology Department, F-13108 Saint-Paul-lez-Durance (France)

    2014-10-15

    Highlights: • The work deals with sodium boiling detection in a liquid metal fast breeder reactor. • The authors choose to use acoustic data instead of thermal data. • The method is designed to not to be disturbed by the environment noises. • A real time boiling detection methods are proposed in the paper. - Abstract: This paper deals with acoustic monitoring of sodium boiling in a liquid metal fast breeder reactor (LMFBR) based on auto regressive (AR) models which have low computational complexities. Some authors have used AR models for sodium boiling or sodium–water reaction detection. These works are based on the characterization of the difference between fault free condition and current functioning of the system. However, even in absence of faults, it is possible to observe a change in the AR models due to the change of operating mode of the LMFBR. This sets up the delicate problem of how to distinguish a change in operating mode in absence of faults and a change due to presence of faults. In this paper we propose a new approach for boiling detection based on the estimation of AR models on sliding windows. Afterwards, classification of the models into boiling or non-boiling models is made by comparing their coefficients by two statistical methods, multiple linear regression (LR) and support vectors machines (SVM). The proposed approach takes into account operating mode information in order to avoid false alarms. Experimental data include non-boiling background noise data collected from Phenix power plant (France) and provided by the CEA (Commissariat à l’Energie Atomique et aux énergies alternatives, France) and boiling condition data generated in laboratory. High boiling detection rates as well as low false alarms rates obtained on these experimental data show that the proposed method is efficient for boiling detection. Most importantly, it shows that the boiling phenomenon introduces a disturbance into the AR models that can be clearly detected.

  8. Probabilistic forecasting of wind power at the minute time-scale with Markov-switching autoregressive models

    DEFF Research Database (Denmark)

    Pinson, Pierre; Madsen, Henrik

    2008-01-01

    Better modelling and forecasting of very short-term power fluctuations at large offshore wind farms may significantly enhance control and management strategies of their power output. The paper introduces a new methodology for modelling and forecasting such very short-term fluctuations. The propos...... consists in 1-step ahead forecasting exercise on time-series of wind generation with a time resolution of 10 minute. The quality of the introduced forecasting methodology and its interest for better understanding power fluctuations are finally discussed.......Better modelling and forecasting of very short-term power fluctuations at large offshore wind farms may significantly enhance control and management strategies of their power output. The paper introduces a new methodology for modelling and forecasting such very short-term fluctuations. The proposed...... methodology is based on a Markov-switching autoregressive model with time-varying coefficients. An advantage of the method is that one can easily derive full predictive densities. The quality of this methodology is demonstrated from the test case of 2 large offshore wind farms in Denmark. The exercise...

  9. Long-term prediction of emergency department revenue and visitor volume using autoregressive integrated moving average model.

    Science.gov (United States)

    Chen, Chieh-Fan; Ho, Wen-Hsien; Chou, Huei-Yin; Yang, Shu-Mei; Chen, I-Te; Shi, Hon-Yi

    2011-01-01

    This study analyzed meteorological, clinical and economic factors in terms of their effects on monthly ED revenue and visitor volume. Monthly data from January 1, 2005 to September 30, 2009 were analyzed. Spearman correlation and cross-correlation analyses were performed to identify the correlation between each independent variable, ED revenue, and visitor volume. Autoregressive integrated moving average (ARIMA) model was used to quantify the relationship between each independent variable, ED revenue, and visitor volume. The accuracies were evaluated by comparing model forecasts to actual values with mean absolute percentage of error. Sensitivity of prediction errors to model training time was also evaluated. The ARIMA models indicated that mean maximum temperature, relative humidity, rainfall, non-trauma, and trauma visits may correlate positively with ED revenue, but mean minimum temperature may correlate negatively with ED revenue. Moreover, mean minimum temperature and stock market index fluctuation may correlate positively with trauma visitor volume. Mean maximum temperature, relative humidity and stock market index fluctuation may correlate positively with non-trauma visitor volume. Mean maximum temperature and relative humidity may correlate positively with pediatric visitor volume, but mean minimum temperature may correlate negatively with pediatric visitor volume. The model also performed well in forecasting revenue and visitor volume.

  10. Long-Term Prediction of Emergency Department Revenue and Visitor Volume Using Autoregressive Integrated Moving Average Model

    Directory of Open Access Journals (Sweden)

    Chieh-Fan Chen

    2011-01-01

    Full Text Available This study analyzed meteorological, clinical and economic factors in terms of their effects on monthly ED revenue and visitor volume. Monthly data from January 1, 2005 to September 30, 2009 were analyzed. Spearman correlation and cross-correlation analyses were performed to identify the correlation between each independent variable, ED revenue, and visitor volume. Autoregressive integrated moving average (ARIMA model was used to quantify the relationship between each independent variable, ED revenue, and visitor volume. The accuracies were evaluated by comparing model forecasts to actual values with mean absolute percentage of error. Sensitivity of prediction errors to model training time was also evaluated. The ARIMA models indicated that mean maximum temperature, relative humidity, rainfall, non-trauma, and trauma visits may correlate positively with ED revenue, but mean minimum temperature may correlate negatively with ED revenue. Moreover, mean minimum temperature and stock market index fluctuation may correlate positively with trauma visitor volume. Mean maximum temperature, relative humidity and stock market index fluctuation may correlate positively with non-trauma visitor volume. Mean maximum temperature and relative humidity may correlate positively with pediatric visitor volume, but mean minimum temperature may correlate negatively with pediatric visitor volume. The model also performed well in forecasting revenue and visitor volume.

  11. Time-frequency representation based on time-varying autoregressive model with applications to non-stationary rotor vibration analysis

    Indian Academy of Sciences (India)

    Long Zhang; Guoliang Xiong; Hesheng Liu; Huijun Zou; Weizhong Guo

    2010-04-01

    A parametric time-frequency representation is presented based on timevarying autoregressive model (TVAR), followed by applications to non-stationary vibration signal processing. The identification of time-varying model coefficients and the determination of model order, are addressed by means of neural networks and genetic algorithms, respectively. Firstly, a simulated signal which mimic the rotor vibration during run-up stages was processed for a comparative study on TVAR and other non-parametric time-frequency representations such as Short Time Fourier Transform, Continuous Wavelet Transform, Empirical Mode Decomposition, Wigner–Ville Distribution and Choi–Williams Distribution, in terms of their resolutions, accuracy, cross term suppression as well as noise resistance. Secondly, TVAR was applied to analyse non-stationary vibration signals collected from a rotor test rig during run-up stages, with an aim to extract fault symptoms under non-stationary operating conditions. Simulation and experimental results demonstrate that TVAR is an effective solution to non-stationary signal analysis and has strong capability in signal time-frequency feature extraction.

  12. Multivariate autoregressive modelling combined with transcephalic electrical impedance: method to relate neonatal systemic circulation and respiration to cerebral circulation.

    Science.gov (United States)

    Grönlund, J U; Jalonen, J; Korhonen, I; Rolfe, P; Välimäki, I A

    1995-05-01

    We studied the pulsatile component of cerebral circulation with transcephalic electrical impedance (delta Z) in six preterm newborns, three of whom had severe cerebral bleeding, peri-intraventricular haemorrhage (PIVH). The transcephalic electrical impedance delta Z signal, ECG, arterial blood pressure, (aBP) and respirogram were recorded on analogue magnetic tape for 30 min. Artefact-free stationary segments (lasting for 2 min) of the four signals were digitised. A digital multivariate autoregressive (MAR) model was used to study frequency-specific variability in the signals and to quantify interrelations between the variabilities of delta Z, HR, aBP and respiratory signals. MAR modelling describes a system where all the signals simultaneously explain each other. The inherent variability of delta Z was lower and the influences of respiration and aBP on delta Z significantly greater in infants with severe PIVH than in controls. These changes were observed at high frequencies corresponding to respiration and heart rate. This may be interpreted as a marker of pressure passivism in the cerebral circulation following PIVH. We conclude that in preterm babies the application of MAR modelling, together with transcephalic impedance, may be a new, helpful and quantitative method for the study of simultaneous interrelations between variables of cerebral and systemic circulations and respiration.

  13. Two Different Points of View through Artificial Intelligence and Vector Autoregressive Models for Ex Post and Ex Ante Forecasting

    Science.gov (United States)

    Aydin, Alev Dilek; Caliskan Cavdar, Seyma

    2015-01-01

    The ANN method has been applied by means of multilayered feedforward neural networks (MLFNs) by using different macroeconomic variables such as the exchange rate of USD/TRY, gold prices, and the Borsa Istanbul (BIST) 100 index based on monthly data over the period of January 2000 and September 2014 for Turkey. Vector autoregressive (VAR) method has also been applied with the same variables for the same period of time. In this study, different from other studies conducted up to the present, ENCOG machine learning framework has been used along with JAVA programming language in order to constitute the ANN. The training of network has been done by resilient propagation method. The ex post and ex ante estimates obtained by the ANN method have been compared with the results obtained by the econometric forecasting method of VAR. Strikingly, our findings based on the ANN method reveal that there is a possibility of financial distress or a financial crisis in Turkey starting from October 2017. The results which were obtained with the method of VAR also support the results of ANN method. Additionally, our results indicate that the ANN approach has more superior prediction performance than the VAR method. PMID:26550010

  14. Two Different Points of View through Artificial Intelligence and Vector Autoregressive Models for Ex Post and Ex Ante Forecasting.

    Science.gov (United States)

    Aydin, Alev Dilek; Caliskan Cavdar, Seyma

    2015-01-01

    The ANN method has been applied by means of multilayered feedforward neural networks (MLFNs) by using different macroeconomic variables such as the exchange rate of USD/TRY, gold prices, and the Borsa Istanbul (BIST) 100 index based on monthly data over the period of January 2000 and September 2014 for Turkey. Vector autoregressive (VAR) method has also been applied with the same variables for the same period of time. In this study, different from other studies conducted up to the present, ENCOG machine learning framework has been used along with JAVA programming language in order to constitute the ANN. The training of network has been done by resilient propagation method. The ex post and ex ante estimates obtained by the ANN method have been compared with the results obtained by the econometric forecasting method of VAR. Strikingly, our findings based on the ANN method reveal that there is a possibility of financial distress or a financial crisis in Turkey starting from October 2017. The results which were obtained with the method of VAR also support the results of ANN method. Additionally, our results indicate that the ANN approach has more superior prediction performance than the VAR method.

  15. Two Different Points of View through Artificial Intelligence and Vector Autoregressive Models for Ex Post and Ex Ante Forecasting

    Directory of Open Access Journals (Sweden)

    Alev Dilek Aydin

    2015-01-01

    Full Text Available The ANN method has been applied by means of multilayered feedforward neural networks (MLFNs by using different macroeconomic variables such as the exchange rate of USD/TRY, gold prices, and the Borsa Istanbul (BIST 100 index based on monthly data over the period of January 2000 and September 2014 for Turkey. Vector autoregressive (VAR method has also been applied with the same variables for the same period of time. In this study, different from other studies conducted up to the present, ENCOG machine learning framework has been used along with JAVA programming language in order to constitute the ANN. The training of network has been done by resilient propagation method. The ex post and ex ante estimates obtained by the ANN method have been compared with the results obtained by the econometric forecasting method of VAR. Strikingly, our findings based on the ANN method reveal that there is a possibility of financial distress or a financial crisis in Turkey starting from October 2017. The results which were obtained with the method of VAR also support the results of ANN method. Additionally, our results indicate that the ANN approach has more superior prediction performance than the VAR method.

  16. Using a generalized additive model with autoregressive terms to study the effects of daily temperature on mortality

    Directory of Open Access Journals (Sweden)

    Yang Lei

    2012-10-01

    Full Text Available Abstract Background Generalized Additive Model (GAM provides a flexible and effective technique for modelling nonlinear time-series in studies of the health effects of environmental factors. However, GAM assumes that errors are mutually independent, while time series can be correlated in adjacent time points. Here, a GAM with Autoregressive terms (GAMAR is introduced to fill this gap. Methods Parameters in GAMAR are estimated by maximum partial likelihood using modified Newton’s method, and the difference between GAM and GAMAR is demonstrated using two simulation studies and a real data example. GAMM is also compared to GAMAR in simulation study 1. Results In the simulation studies, the bias of the mean estimates from GAM and GAMAR are similar but GAMAR has better coverage and smaller relative error. While the results from GAMM are similar to GAMAR, the estimation procedure of GAMM is much slower than GAMAR. In the case study, the Pearson residuals from the GAM are correlated, while those from GAMAR are quite close to white noise. In addition, the estimates of the temperature effects are different between GAM and GAMAR. Conclusions GAMAR incorporates both explanatory variables and AR terms so it can quantify the nonlinear impact of environmental factors on health outcome as well as the serial correlation between the observations. It can be a useful tool in environmental epidemiological studies.

  17. Efficient workload management in geographically distributed data centers leveraging autoregressive models

    Science.gov (United States)

    Altomare, Albino; Cesario, Eugenio; Mastroianni, Carlo

    2016-10-01

    The opportunity of using Cloud resources on a pay-as-you-go basis and the availability of powerful data centers and high bandwidth connections are speeding up the success and popularity of Cloud systems, which is making on-demand computing a common practice for enterprises and scientific communities. The reasons for this success include natural business distribution, the need for high availability and disaster tolerance, the sheer size of their computational infrastructure, and/or the desire to provide uniform access times to the infrastructure from widely distributed client sites. Nevertheless, the expansion of large data centers is resulting in a huge rise of electrical power consumed by hardware facilities and cooling systems. The geographical distribution of data centers is becoming an opportunity: the variability of electricity prices, environmental conditions and client requests, both from site to site and with time, makes it possible to intelligently and dynamically (re)distribute the computational workload and achieve as diverse business goals as: the reduction of costs, energy consumption and carbon emissions, the satisfaction of performance constraints, the adherence to Service Level Agreement established with users, etc. This paper proposes an approach that helps to achieve the business goals established by the data center administrators. The workload distribution is driven by a fitness function, evaluated for each data center, which weighs some key parameters related to business objectives, among which, the price of electricity, the carbon emission rate, the balance of load among the data centers etc. For example, the energy costs can be reduced by using a "follow the moon" approach, e.g. by migrating the workload to data centers where the price of electricity is lower at that time. Our approach uses data about historical usage of the data centers and data about environmental conditions to predict, with the help of regressive models, the values of the

  18. Multivariate Generalized Autoregressive Conditional Heteroscedastic Model%多维广义自回归条件异方差模型

    Institute of Scientific and Technical Information of China (English)

    史宁中; 刘继春

    2001-01-01

    In this paper, by making use of the Hadamard product of matrices, a natural and reasonable generalization of the univariate GARCH (Generalized Autoregressive Conditional heteroscedastic) process introduced by Bollerslev (J. Econometrics 31(1986), 307-327) to the multivariate case is proposed. The conditions for the existence of strictly stationary and ergodic solutions and the existence of higherorder moments for this class of parametric models are derived.

  19. Autoregressive modeling with exogenous input of middle-latency auditory-evoked potentials to measure rapid changes in depth of anesthesia

    DEFF Research Database (Denmark)

    Jensen, E W; Lindholm, P; Henneberg, S W

    1996-01-01

    Average (MTA). However, the MTA is time consuming because a large number of repetitions is needed to produce an estimate of the AEP. Hence, changes occurring over a small number of sweeps will not be detected by the MTA average. We describe a system-identification method, an autoregressive model...... was measured. These measurements showed that ARX-estimated compared to MTA-estimated AEP was significantly faster in tracing transition from consciousness to unconsciousness during propofol induction (p

  20. Multi-Innovation Stochastic Gradient Identification Algorithm for Hammerstein Controlled Autoregressive Autoregressive Systems Based on the Key Term Separation Principle and on the Model Decomposition

    Directory of Open Access Journals (Sweden)

    Huiyi Hu

    2013-01-01

    speed of the stochastic gradient algorithm. The key term separation principle can simplify the identification model of the input nonlinear system, and the decomposition technique can enhance computational efficiencies of identification algorithms. The simulation results show that the proposed algorithm is effective for estimating the parameters of IN-CARAR systems.

  1. Day of the year-based prediction of horizontal global solar radiation by a neural network auto-regressive model

    Science.gov (United States)

    Gani, Abdullah; Mohammadi, Kasra; Shamshirband, Shahaboddin; Khorasanizadeh, Hossein; Seyed Danesh, Amir; Piri, Jamshid; Ismail, Zuraini; Zamani, Mazdak

    2016-08-01

    The availability of accurate solar radiation data is essential for designing as well as simulating the solar energy systems. In this study, by employing the long-term daily measured solar data, a neural network auto-regressive model with exogenous inputs (NN-ARX) is applied to predict daily horizontal global solar radiation using day of the year as the sole input. The prime aim is to provide a convenient and precise way for rapid daily global solar radiation prediction, for the stations and their immediate surroundings with such an observation, without utilizing any meteorological-based inputs. To fulfill this, seven Iranian cities with different geographical locations and solar radiation characteristics are considered as case studies. The performance of NN-ARX is compared against the adaptive neuro-fuzzy inference system (ANFIS). The achieved results prove that day of the year-based prediction of daily global solar radiation by both NN-ARX and ANFIS models would be highly feasible owing to the accurate predictions attained. Nevertheless, the statistical analysis indicates the superiority of NN-ARX over ANFIS. In fact, the NN-ARX model represents high potential to follow the measured data favorably for all cities. For the considered cities, the attained statistical indicators of mean absolute bias error, root mean square error, and coefficient of determination for the NN-ARX models are in the ranges of 0.44-0.61 kWh/m2, 0.50-0.71 kWh/m2, and 0.78-0.91, respectively.

  2. Sufficient conditions for rate-independent hysteresis in autoregressive identified models

    Science.gov (United States)

    Martins, Samir Angelo Milani; Aguirre, Luis Antonio

    2016-06-01

    This paper shows how hysteresis can be described using polynomial models and what are the sufficient conditions to be met by the model in order to have hysteresis. Such conditions are related to the model equilibria, to the forcing function and to certain term clusters in the polynomial models. The main results of the paper are used in the identification and analysis of nonlinear models estimated from data produced by a magneto-rheological damper (MRD) model with Bouc-Wen rate-independent hysteresis. A striking feature of the identified model is its simplicity and this could turn out to be a key factor in controller design.

  3. Automating Vector Autoregression on Electronic Patient Diary Data.

    Science.gov (United States)

    Emerencia, Ando Celino; van der Krieke, Lian; Bos, Elisabeth H; de Jonge, Peter; Petkov, Nicolai; Aiello, Marco

    2016-03-01

    Finding the best vector autoregression model for any dataset, medical or otherwise, is a process that, to this day, is frequently performed manually in an iterative manner requiring a statistical expertize and time. Very few software solutions for automating this process exist, and they still require statistical expertize to operate. We propose a new application called Autovar, for the automation of finding vector autoregression models for time series data. The approach closely resembles the way in which experts work manually. Our proposal offers improvements over the manual approach by leveraging computing power, e.g., by considering multiple alternatives instead of choosing just one. In this paper, we describe the design and implementation of Autovar, we compare its performance against experts working manually, and we compare its features to those of the most used commercial solution available today. The main contribution of Autovar is to show that vector autoregression on a large scale is feasible. We show that an exhaustive approach for model selection can be relatively safe to use. This study forms an important step toward making adaptive, personalized treatment available and affordable for all branches of healthcare.

  4. Robust Burg estimation of stationary autoregressive mixtures covariance

    Science.gov (United States)

    Decurninge, Alexis; Barbaresco, Frédéric

    2015-01-01

    Burg estimators are classically used for the estimation of the autocovariance of a stationary autoregressive process. We propose to consider scale mixtures of stationary autoregressive processes, a non-Gaussian extension of the latter. The traces of such processes are Spherically Invariant Random Vectors (SIRV) with a constraint on the scatter matrix due to the autoregressive model. We propose adaptations of the Burg estimators to the considered models and their associated robust versions based on geometrical considerations.

  5. Residuals of autoregressive model providing additional information for feature extraction of pattern recognition-based myoelectric control.

    Science.gov (United States)

    Pan, Lizhi; Zhang, Dingguo; Sheng, Xinjun; Zhu, Xiangyang

    2015-01-01

    Myoelectric control based on pattern recognition has been studied for several decades. Autoregressive (AR) features are one of the mostly used feature extraction methods among myoelectric control studies. Almost all previous studies only used the AR coefficients without the residuals of AR model for classification. However, the residuals of AR model contain important amplitude information of the electromyography (EMG) signals. In this study, we added the residuals to the AR features (AR+re) and compared its performance with the classical sixth-order AR coefficients. We tested six unilateral transradial amputees and eight able-bodied subjects for eleven hand and wrist motions. The classification accuracy (CA) of the intact side for amputee subjects and the right hand for able-bodied subjects showed that the CA of AR+re features was slightly but significantly higher than that of classical AR features (p = 0.009), which meant that residuals could provide additional information to classical AR features for classification. Interestingly, the CA of the affected side for amputee subjects showed that there was no significant difference between the CA of AR+re features and classical AR features (p > 0.05). We attributed this to the fact that the amputee subjects could not use their affected side to produce consistent EMG patterns as their intact side or the dominant hand of the able-bodied subjects. Since the residuals were already available when the AR coefficients were computed, the results of this study suggested adding the residuals to classical AR features to potentially improve the performance of pattern recognition-based myoelectric control.

  6. A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching

    DEFF Research Database (Denmark)

    Haldrup, Niels; Nielsen, Frank; Nielsen, Morten Ørregaard

    2007-01-01

    A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the regime states as well as the possibility of fractional cointegra- tion. The model is relevant in describing the price dynamics of electricity prices where the transmission of power is subject...

  7. A Realistic Process Example for MIMO MPC based on Autoregressive Models

    DEFF Research Database (Denmark)

    Huusom, Jakob Kjøbsted; Jørgensen, John Bagterp

    2014-01-01

    Advanced controllers such as model predictive control are i n use for a wide range of application in the process industry. The potential utili zation of such advanced predictive controllers is far from exhausted. One barrier for more wide spread implementation is the lack of simple methodologies...... for advanced control design develo pment which may be used by non experts in control theory. This paper presents and illustra tes the use of a simple methodology to design an offset-free MPC based on ARX models. Hence a mecha nistic process model is not required. The forced circulation evaporator by Newell...

  8. Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations

    DEFF Research Database (Denmark)

    Amado, Cristina; Teräsvirta, Timo

    In this paper we investigate the effects of careful modelling the long-run dynamics of the volatilities of stock market returns on the conditional correlation structure. To this end we allow the individual unconditional variances in Conditional Correlation GARCH models to change smoothly over time......-run and the short-run dynamic behaviour of the volatilities. The structure of the conditional correlation matrix is assumed to be either time independent or to vary over time. We apply our model to pairs of seven daily stock returns belonging to the S&P 500 composite index and traded at the New York Stock Exchange....... The results suggest that accounting for deterministic changes in the unconditional variances considerably improves the fit of the multivariate Conditional Correlation GARCH models to the data. The effect of careful specification of the variance equations on the estimated correlations is variable: in some...

  9. Virtual prototype and experimental research on gear multi-fault diagnosis using wavelet-autoregressive model and principal component analysis method

    Science.gov (United States)

    Li, Zhixiong; Yan, Xinping; Yuan, Chengqing; Peng, Zhongxiao; Li, Li

    2011-10-01

    Gear systems are an essential element widely used in a variety of industrial applications. Since approximately 80% of the breakdowns in transmission machinery are caused by gear failure, the efficiency of early fault detection and accurate fault diagnosis are therefore critical to normal machinery operations. Reviewed literature indicates that only limited research has considered the gear multi-fault diagnosis, especially for single, coupled distributed and localized faults. Through virtual prototype simulation analysis and experimental study, a novel method for gear multi-fault diagnosis has been presented in this paper. This new method was developed based on the integration of Wavelet transform (WT) technique, Autoregressive (AR) model and Principal Component Analysis (PCA) for fault detection. The WT method was used in the study as the de-noising technique for processing raw vibration signals. Compared with the noise removing method based on the time synchronous average (TSA), the WT technique can be performed directly on the raw vibration signals without the need to calculate any ensemble average of the tested gear vibration signals. More importantly, the WT can deal with coupled faults of a gear pair in one operation while the TSA must be carried out several times for multiple fault detection. The analysis results of the virtual prototype simulation prove that the proposed method is a more time efficient and effective way to detect coupled fault than TSA, and the fault classification rate is superior to the TSA based approaches. In the experimental tests, the proposed method was compared with the Mahalanobis distance approach. However, the latter turns out to be inefficient for the gear multi-fault diagnosis. Its defect detection rate is below 60%, which is much less than that of the proposed method. Furthermore, the ability of the AR model to cope with localized as well as distributed gear faults is verified by both the virtual prototype simulation and

  10. Robust nonlinear autoregressive moving average model parameter estimation using stochastic recurrent artificial neural networks

    DEFF Research Database (Denmark)

    Chon, K H; Hoyer, D; Armoundas, A A;

    1999-01-01

    part of the stochastic ARMA model are first estimated via a three-layer artificial neural network (deterministic estimation step) and then reestimated using the prediction error as one of the inputs to the artificial neural networks in an iterative algorithm (stochastic estimation step). The prediction...

  11. An application of Auto-regressive (AR model in predicting Aeroelastic Effectsof Lekki Cable Stayed Bridge

    Directory of Open Access Journals (Sweden)

    Hassan Abba Musa

    2016-06-01

    Full Text Available In current practice, the predictive analysis of stochastic problems encompasses a variety of statistical techniques from modeling, machine, and data mining that analyse current and historical facts to make predictions about future. Therefore, this research uses an AR Model whose codes are incorporated in the MATLAB software to predict possible aero-elastic effects of Lekki Bridge based on its existing parametric data and the conditions around the bridge. It was seen that, the fluctuating components of the wind velocity as displayed by the fluctuant curve will result in the vibration of the structure, even strengthening the resonance effect of the structure. Therefore, it suggested that, the natural frequency of the bridge should be set aside far from system frequency considering direct parametric excitation of pedestrian or vehicular traffic speed.

  12. Quasi-Maximum Likelihood Estimators in Generalized Linear Models with Autoregressive Processes

    Institute of Scientific and Technical Information of China (English)

    Hong Chang HU; Lei SONG

    2014-01-01

    The paper studies a generalized linear model (GLM) yt=h(xTtβ)+εt, t=1, 2, . . . , n, whereε1=η1,εt=ρεt-1+ηt, t=2,3,...,n, h is a continuous diff erentiable function,ηt’s are independent and identically distributed random errors with zero mean and finite varianceσ 2. Firstly, the quasi-maximum likelihood (QML) estimators ofβ,ρandσ 2 are given. Secondly, under mild conditions, the asymptotic properties (including the existence, weak consistency and asymptotic distribution) of the QML estimators are investigated. Lastly, the validity of method is illuminated by a simulation example.

  13. Application of time-lagged ensemble approach with auto-regressive processors to reduce uncertainties in peak discharge and timing

    Directory of Open Access Journals (Sweden)

    Kyung-Jin Kim

    2017-02-01

    An accuracy evaluation using observations from 2002 to 2009 found that the time-lagged ensemble approach alone produced significant bias but the AR processor reduced the relative error percentage of the peak discharge from 60% to 10% and also decreased the peak timing error from more than 10 h to less than 3 h, on average. The proposed methodology is easy and inexpensive to implement with the existing products and models and thus can be immediately activated until a new product for forecasted meteorological ensembles is officially issued in Korea.

  14. ARES:Autoregressive Emotion-Sensitive Model for Predicting Sales Performance%ARES:用于预测的情感感知自回归模型

    Institute of Scientific and Technical Information of China (English)

    李雪妮; 张绍武; 杨亮; 林鸿飞

    2013-01-01

    Along with the vigorous development of Web 2.0,lots of comments that represent the voices of customers appeared on the Internet,and the general public's sentiments toward products are increasingly influenced by the underlying viewpoints.Therefore mining the sentiment information from reviews would produce practical values for predicting sales performance and adjusting market strategy.Aiming at this problem,based on the result of the analysis on the characteristics of online book reviews,it proposes a sentiment analysis method.First,a polarity word dictionary is automatically constructed by the part of speech list and the prefix list.Afterwards the sentiments in the reviews can be extracted based on the polarity dictionary.Finally,the paper presents an ARES (autoregressive emotion-sensitive model),to utilize the emotion information acquired by the sentiment analysis method for predicting sales performance.Experiments are conducted on a book data set.By comparing the ARES with alternative models that do not take sentiment information into consideration,as well as a model with a different sentiment analysis method,the results,on the one hand,indicate that our sentiment analysis approach could generate a well summary of the review itself,and on the other hand,confirm the effectiveness of the proposed prediction model.%随着Web2.0的蓬勃发展,互联网上产生了大量由用户发表的评论,其中表达的观点看法对大众消费的影响越来越大,因此分析评论中蕴含的情感信息对产品销量的预测以及市场战略的调整有实际意义.针对这一问题,在分析图书销售领域网络评论特点的基础上,提出了相应的情感分析方法,首先利用词性列表及前缀词典完成极性词词典的自动抽取与构建,然后采用基于词典的方法对图书的评论内容进行情感分析及量化,最后通过将抽取的情感因素融合到自回归模型中,建立了新的预测模型——情感感知自回归模型(autoregressive

  15. Bayesian Vector Autoregressions with Stochastic Volatility

    NARCIS (Netherlands)

    Uhlig, H.F.H.V.S.

    1996-01-01

    This paper proposes a Bayesian approach to a vector autoregression with stochastic volatility, where the multiplicative evolution of the precision matrix is driven by a multivariate beta variate.Exact updating formulas are given to the nonlinear filtering of the precision matrix.Estimation of the au

  16. Exploring the mechanisms of ecological land change based on the spatial autoregressive model: a case study of the Poyang Lake Eco-Economic Zone, China.

    Science.gov (United States)

    Xie, Hualin; Liu, Zhifei; Wang, Peng; Liu, Guiying; Lu, Fucai

    2013-12-31

    Ecological land is one of the key resources and conditions for the survival of humans because it can provide ecosystem services and is particularly important to public health and safety. It is extremely valuable for effective ecological management to explore the evolution mechanisms of ecological land. Based on spatial statistical analyses, we explored the spatial disparities and primary potential drivers of ecological land change in the Poyang Lake Eco-economic Zone of China. The results demonstrated that the global Moran's I value is 0.1646 during the 1990 to 2005 time period and indicated significant positive spatial correlation (p ecological land changes weakened in the study area. Some potential driving forces were identified by applying the spatial autoregressive model in this study. The results demonstrated that the higher economic development level and industrialization rate were the main drivers for the faster change of ecological land in the study area. This study also tested the superiority of the spatial autoregressive model to study the mechanisms of ecological land change by comparing it with the traditional linear regressive model.

  17. Exploring the Mechanisms of Ecological Land Change Based on the Spatial Autoregressive Model: A Case Study of the Poyang Lake Eco-Economic Zone, China

    Directory of Open Access Journals (Sweden)

    Hualin Xie

    2013-12-01

    Full Text Available Ecological land is one of the key resources and conditions for the survival of humans because it can provide ecosystem services and is particularly important to public health and safety. It is extremely valuable for effective ecological management to explore the evolution mechanisms of ecological land. Based on spatial statistical analyses, we explored the spatial disparities and primary potential drivers of ecological land change in the Poyang Lake Eco-economic Zone of China. The results demonstrated that the global Moran’s I value is 0.1646 during the 1990 to 2005 time period and indicated significant positive spatial correlation (p < 0.05. The results also imply that the clustering trend of ecological land changes weakened in the study area. Some potential driving forces were identified by applying the spatial autoregressive model in this study. The results demonstrated that the higher economic development level and industrialization rate were the main drivers for the faster change of ecological land in the study area. This study also tested the superiority of the spatial autoregressive model to study the mechanisms of ecological land change by comparing it with the traditional linear regressive model.

  18. Autoregressive description of biological phenomena

    CERN Document Server

    Morariu, Vasile V; Pop, Alexadru; Soltuz, Stefan M; Buimaga-Iarinca, Luiza; Zainea, Oana

    2008-01-01

    Many natural phenomena can be described by power-laws. A closer look at various experimental data reveals more or less significant deviations from a 1/f spectrum. We exemplify such cases with phenomena offered by molecular biology, cell biophysics, and cognitive psychology. Some of these cases can be described by first order autoregressive (AR) models or by higher order AR models which are short range correlation models. The calculations are checked against astrophysical data which were fitted to a an AR model by a different method. We found that our fitting method of the data give similar results for the astrhophysical data and therefore applied the method for examples mentioned above. Our results show that such phenomena can be described by first or higher order of AR models. Therefore such examples are described by short range correlation properties while they can be easily confounded with long range correlation phenomena.

  19. Asymptotic distribution of Moran test in spatial econometric autoregressive models%空间经济计量滞后模型Moran检验的渐近分布

    Institute of Scientific and Technical Information of China (English)

    欧变玲; 龙志和; 林光平

    2011-01-01

    基于空间经济计量滞后模型的2SLS残差,证明误差项服从正态独立同分布时,空间滞后模型Moran检验渐近服从正态分布,提出OLL-Moran检验②.Monte Carlo实验结果显示,与KP-Moran检验相比,提出的OLL-Moran检验的水平扭曲更低、功效更高.OLL-Moran检验具有良好的有限样本性质,能够更有效地检验空间经济计量滞后模型估计残差间的空间关系.%In this paper, based on the 2SLS residuals in the spatial econometric autoregressive model, we prove that Moran test is asymptotically normal distribution when the error is independent and identically distributed , and then establish OLL-Moran test. Monte Carlo experiment results show that size distortion of OLL-Moran test in this research is less than that of KP-Moran, and the power of OLL-Moran test is more than that of KP-Moran. OLL-Moran test has good finite sample performance, and could check effectively spatial correlation among 2SLS residuals in the spatial econometric autoregressive model.

  20. A wavelet-based non-linear autoregressive with exogenous inputs (WNARX) dynamic neural network model for real-time flood forecasting using satellite-based rainfall products

    Science.gov (United States)

    Nanda, Trushnamayee; Sahoo, Bhabagrahi; Beria, Harsh; Chatterjee, Chandranath

    2016-08-01

    Although flood forecasting and warning system is a very important non-structural measure in flood-prone river basins, poor raingauge network as well as unavailability of rainfall data in real-time could hinder its accuracy at different lead times. Conversely, since the real-time satellite-based rainfall products are now becoming available for the data-scarce regions, their integration with the data-driven models could be effectively used for real-time flood forecasting. To address these issues in operational streamflow forecasting, a new data-driven model, namely, the wavelet-based non-linear autoregressive with exogenous inputs (WNARX) is proposed and evaluated in comparison with four other data-driven models, viz., the linear autoregressive moving average with exogenous inputs (ARMAX), static artificial neural network (ANN), wavelet-based ANN (WANN), and dynamic nonlinear autoregressive with exogenous inputs (NARX) models. First, the quality of input rainfall products of Tropical Rainfall Measuring Mission Multi-satellite Precipitation Analysis (TMPA), viz., TRMM and TRMM-real-time (RT) rainfall products is assessed through statistical evaluation. The results reveal that the satellite rainfall products moderately correlate with the observed rainfall, with the gauge-adjusted TRMM product outperforming the real-time TRMM-RT product. The TRMM rainfall product better captures the ground observations up to 95 percentile range (30.11 mm/day), although the hit rate decreases for high rainfall intensity. The effect of antecedent rainfall (AR) and climate forecast system reanalysis (CFSR) temperature product on the catchment response is tested in all the developed models. The results reveal that, during real-time flow simulation, the satellite-based rainfall products generally perform worse than the gauge-based rainfall. Moreover, as compared to the existing models, the flow forecasting by the WNARX model is way better than the other four models studied herein with the

  1. Testing for vector autoregressive dynamics under heteroskedasticity

    NARCIS (Netherlands)

    C.M. Hafner (Christian); H. Herwartz

    2002-01-01

    textabstractIn this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any parametric specification of the volatility process

  2. Oracle Inequalities for High Dimensional Vector Autoregressions

    DEFF Research Database (Denmark)

    Callot, Laurent; Kock, Anders Bredahl

    This paper establishes non-asymptotic oracle inequalities for the prediction error and estimation accuracy of the LASSO in stationary vector autoregressive models. These inequalities are used to establish consistency of the LASSO even when the number of parameters is of a much larger order...

  3. Autoregression of Quasi-Stationary Time Series (Invited)

    Science.gov (United States)

    Meier, T. M.; Küperkoch, L.

    2009-12-01

    Autoregression is a model based tool for spectral analysis and prediction of time series. It has the potential to increase the resolution of spectral estimates. However, the validity of the assumed model has to be tested. Here we review shortly methods for the determination of the parameters of autoregression and summarize properties of autoregressive prediction and autoregressive spectral analysis. Time series with a limited number of dominant frequencies varying slowly in time (quasi-stationary time series) may well be described by a time-dependent autoregressive model of low order. An algorithm for the estimation of the autoregression parameters in a moving window is presented. Time-varying dominant frequencies are estimated. The comparison to results obtained by Fourier transform based methods and the visualization of the time dependent normalized prediction error are essential for quality assessment of the results. The algorithm is applied to synthetic examples as well as to mircoseism and tremor. The sensitivity of the results to the choice of model and filter parameters is discussed. Autoregressive forward prediction offers the opportunity to detect body wave phases in seismograms and to determine arrival times automatically. Examples are shown for P- and S-phases at local and regional distances. In order to determine S-wave arrival times the autoregressive model is extended to multi-component recordings. For the detection of significant temporal changes in waveforms, the choice of the model appears to be less crucial compared to spectral analysis. Temporal changes in frequency, amplitude, phase, and polarisation are detectable by autoregressive prediction. Quality estimates of automatically determined onset times may be obtained from the slope of the absolute prediction error as a function of time and the signal-to-noise ratio. Results are compared to manual readings.

  4. Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan

    NARCIS (Netherlands)

    R.W. Strachan (Rodney); H.K. van Dijk (Herman)

    2007-01-01

    textabstractA Bayesian model averaging procedure is presented within the class of vector autoregressive (VAR) processes and applied to two empirical issues. First, stability of the "Great Ratios" in U.S. macro-economic time series is investigated, together with the presence and e¤ects of permanent s

  5. Hybrid support vector regression and autoregressive integrated moving average models improved by particle swarm optimization for property crime rates forecasting with economic indicators.

    Science.gov (United States)

    Alwee, Razana; Shamsuddin, Siti Mariyam Hj; Sallehuddin, Roselina

    2013-01-01

    Crimes forecasting is an important area in the field of criminology. Linear models, such as regression and econometric models, are commonly applied in crime forecasting. However, in real crimes data, it is common that the data consists of both linear and nonlinear components. A single model may not be sufficient to identify all the characteristics of the data. The purpose of this study is to introduce a hybrid model that combines support vector regression (SVR) and autoregressive integrated moving average (ARIMA) to be applied in crime rates forecasting. SVR is very robust with small training data and high-dimensional problem. Meanwhile, ARIMA has the ability to model several types of time series. However, the accuracy of the SVR model depends on values of its parameters, while ARIMA is not robust to be applied to small data sets. Therefore, to overcome this problem, particle swarm optimization is used to estimate the parameters of the SVR and ARIMA models. The proposed hybrid model is used to forecast the property crime rates of the United State based on economic indicators. The experimental results show that the proposed hybrid model is able to produce more accurate forecasting results as compared to the individual models.

  6. Estimation of Time Varying Autoregressive Symmetric Alpha Stable

    Data.gov (United States)

    National Aeronautics and Space Administration — In this work, we present a novel method for modeling time-varying autoregressive impulsive signals driven by symmetric alpha stable distributions. The proposed...

  7. Comparison of hidden and observed regime-switching autoregressive models for (u, v)-components of wind fields in the northeastern Atlantic

    Science.gov (United States)

    Bessac, Julie; Ailliot, Pierre; Cattiaux, Julien; Monbet, Valerie

    2016-02-01

    Several multi-site stochastic generators of zonal and meridional components of wind are proposed in this paper. A regime-switching framework is introduced to account for the alternation of intensity and variability that is observed in wind conditions due to the existence of different weather types. This modeling blocks time series into periods in which the series is described by a single model. The regime-switching is modeled by a discrete variable that can be introduced as a latent (or hidden) variable or as an observed variable. In the latter case a clustering algorithm is used before fitting the model to extract the regime. Conditional on the regimes, the observed wind conditions are assumed to evolve as a linear Gaussian vector autoregressive (VAR) model. Various questions are explored, such as the modeling of the regime in a multi-site context, the extraction of relevant clusterings from extra variables or from the local wind data, and the link between weather types extracted from wind data and large-scale weather regimes derived from a descriptor of the atmospheric circulation. We also discuss the relative advantages of hidden and observed regime-switching models. For artificial stochastic generation of wind sequences, we show that the proposed models reproduce the average space-time motions of wind conditions, and we highlight the advantage of regime-switching models in reproducing the alternation of intensity and variability in wind conditions.

  8. Modeling variations in the cedi/dollar exchange rate in Ghana: an autoregressive conditional heteroscedastic (ARCH) models.

    Science.gov (United States)

    Techie Quaicoe, Michael; Twenefour, Frank B K; Baah, Emmanuel M; Nortey, Ezekiel N N

    2015-01-01

    This research article aimed at modeling the variations in the dollar/cedi exchange rate. It examines the applicability of a range of ARCH/GARCH specifications for modeling volatility of the series. The variants considered include the ARMA, GARCH, IGARCH, EGARCH and M-GARCH specifications. The results show that the series was non stationary which resulted from the presence of a unit root in it. The ARMA (1, 1) was found to be the most suitable model for the conditional mean. From the Box-Ljung test statistics x-squared of 1476.338 with p value 0.00217 for squared returns and 16.918 with 0.0153 p values for squared residuals, the null hypothesis of no ARCH effect was rejected at 5% significance level indicating the presence of an ARCH effect in the series. ARMA (1, 1) + GARCH (1, 1) which has all parameters significant was found to be the most suitable model for the conditional mean with conditional variance, thus showing adequacy in describing the conditional mean with variance of the return series at 5% significant level. A 24 months forecast for the mean actual exchange rates and mean returns from January, 2013 to December, 2014 made also showed that the fitted model is appropriate for the data and a depreciating trend of the cedi against the dollar for forecasted period respectively.

  9. Prediction of the Nighttime VLF Subionospheric Signal Amplitude by Using Nonlinear Autoregressive with Exogenous Input Neural Network Model

    Science.gov (United States)

    Santosa, H.; Hobara, Y.; Balikhin, M. A.

    2015-12-01

    Very Low Frequency (VLF) waves have been proposed as an approach to study and monitor the lower ionospheric conditions. The ionospheric perturbations are identified in relation with thunderstorm activity, geomagnetic storm and other factors. The temporal dependence of VLF amplitude has a complicated and large daily variabilities in general due to combinations of both effects from above (space weather effect) and below (atmospheric and crustal processes) of the ionosphere. Quantitative contributions from different external sources are not known well yet. Thus the modelling and prediction of VLF wave amplitude are important issues to study the lower ionospheric responses from various external parameters and to also detect the anomalies of the ionosphere. The purpose of the study is to model and predict nighttime average amplitude of VLF wave propagation from the VLF transmitter in Hawaii (NPM) to receiver in Chofu (CHO) Tokyo, Japan path using NARX neural network. The constructed model was trained for the target parameter of nighttime average amplitude of NPM-CHO path. The NARX model, which was built based on daily input variables of various physical parameters such as stratosphere temperature, cosmic rays and total column ozone, possessed good accuracies. As a result, the constructed models are capable of performing accurate multistep ahead predictions, while maintaining acceptable one step ahead prediction accuracy. The results of the predicted daily VLF amplitude are in good agreement with observed (true) value for one step ahead prediction (r = 0.92, RMSE = 1.99), multi-step ahead 5 days prediction (r = 0.91, RMSE = 1.14) and multi-step ahead 10 days prediction (r = 0.75, RMSE = 1.74). The developed model indicates the feasibility and reliability of predicting lower ionospheric properties by the NARX neural network approach, and provides physical insights on the responses of lower ionosphere due to various external forcing.

  10. An autoregressive integrated moving average model for short-term prediction of hepatitis C virus seropositivity among male volunteer blood donors in Karachi, Pakistan

    Institute of Scientific and Technical Information of China (English)

    Saeed Akhtar; Shafquat Rozi

    2009-01-01

    AIM: To identify the stochastic autoregressive integrated moving average (ARIMA) model for short term forecasting of hepatitis C virus (HCV) seropositivity among volunteer blood donors in Karachi, Pakistan. METHODS: Ninety-six months (1998-2005) data on volunteer blood donors tested at four major blood banks in Karachi, Pakistan were subjected to ARIMA modeling. Subsequently, a fitted ARIMA model was used to forecast HCV seropositive donors for 91-96 mo to contrast with observed series of the same months. To assess the forecast accuracy, the mean absolute error rate (%) between the observed and predicted HCV seroprevalence was calculated. Finally, a fitted ARIMA model was used for short-term forecasts beyond the observed series. RESULTS: The goodness-of-fit test of the optimum ARIMA (2,1,7) model showed non- s igni f icant autocorrelations in the residuals of the model. The forecasts by ARIMA for 91-96 mo closely followed the pattern of observed series for the same months, with mean monthly absolute forecast errors (%) over 6 mo of 6.5%. The short-term forecasts beyond the observed series adequately captured the pattern in the data and showed increasing tendency of HCV seropositivity with CONCLUSION: To curtail HCV spread, public health authorities need to educate communities and health care providers about HCV transmission routes based on known HCV epidemiology in Pakistan and its neighboring countries. Future research may focus on factors associated with hyperendemic levels of HCV infection.

  11. MODELADO DEL PRECIO SPOT DE LA ELECTRICIDAD EN BRASIL USANDO UNA RED NEURONAL AUTORREGRESIVA ELECTRICITY SPOT PRICE MODELLING IN BRASIL USING AN AUTOREGRESSIVE NEURAL NETWORK

    Directory of Open Access Journals (Sweden)

    Juan D Velásquez

    2008-12-01

    Full Text Available Una red neuronal autorregresiva es estimada para el precio mensual brasileño de corto plazo de la electricidad, la cual describe mejor la dinámica de los precios que un modelo lineal autorregresivo y que un perceptrón multicapa clásico que usan las mismas entradas y neuronas en la capa oculta. El modelo propuesto es especificado usando un procedimiento estadístico basado en el contraste del radio de verosimilitud. El modelo pasa una batería de pruebas de diagnóstico. El procedimiento de especificación propuesto permite seleccionar el número de unidades en la capa oculta y las entradas a la red neuronal, usando pruebas estadísticas que tienen en cuenta la cantidad de los datos y el ajuste del modelo a la serie de precios. La especificación del modelo final demuestra que el precio para el próximo mes es una función no lineal del precio actual, de la energía afluente actual y de la energía almacenada en el embalse equivalente en el mes actual y dos meses atrás.An autoregressive neural network model is estimated for the monthly Brazilian electricity spot price, which describes the prices dynamics better than a linear autoregressive model and a classical multilayer perceptron using the same input and neurons in the hidden layer. The proposed model is specified using a statistical procedure based on a likelihood ratio test. The model passes a battery of diagnostic tests. The proposed specification procedure allows us to select the number of units in hidden layer and the inputs to the neural network based on statistical tests, taking into account the number of data and the model fitting to the price time series. The final model specification demonstrates that the price for the next month is a nonlinear function of the current price, the current energy inflow, and the energy saved in the equivalent reservoir in the current month and two months ago.

  12. PENERAPAN MODEL ARBITRAGE PRICING THEORY DENGAN PENDEKATAN VECTOR AUTOREGRESSION DALAM MENGESTIMASI EXPECTED RETURN SAHAM (Studi Kasus: Saham-Saham Kompas100 Periode 2010-2013

    Directory of Open Access Journals (Sweden)

    VIAN RISKA AYUNING TYAS

    2014-08-01

    Full Text Available The Arbitrage Pricing Theory (APT is an alternative model to estimate the price of securities based of arbitrage concept. In APT, the returns of securities are affected by several factors. This research is aimed to estimate the expected returns of securities using APT model and Vector Autoregressive model. There are ten stocks incorporated in Kompas100 index and four macroeconomic variables, these are inflation, exchange rates, the amountof circulate money (JUB, and theinterest rateof Bank Indonesia(SBI are applied in this research. The first step in using VAR is to test the stationary of the data using colerogram and the results indicate that all data are stationary. The second step is to select the optimal lag based on the smallest value of AIC. The Granger causality test shows that the LPKR stock is affected by the inflation and the exchange rate while the nine other stocks do not show the existence of the expected causality. The results of causality test are then estimated by the VAR models in order to obtain expected returnof macroeconomic factors. The expected return of macroeconomic factors obtained is used in the APT model, then the expected return stock LPKR is calculated. It shows that the expected return of LPKR is 3,340%

  13. Middle and long-term prediction of UT1-UTC based on combination of Gray Model and Autoregressive Integrated Moving Average

    Science.gov (United States)

    Jia, Song; Xu, Tian-he; Sun, Zhang-zhen; Li, Jia-jing

    2017-02-01

    UT1-UTC is an important part of the Earth Orientation Parameters (EOP). The high-precision predictions of UT1-UTC play a key role in practical applications of deep space exploration, spacecraft tracking and satellite navigation and positioning. In this paper, a new prediction method with combination of Gray Model (GM(1, 1)) and Autoregressive Integrated Moving Average (ARIMA) is developed. The main idea is as following. Firstly, the UT1-UTC data are preprocessed by removing the leap second and Earth's zonal harmonic tidal to get UT1R-TAI data. Periodic terms are estimated and removed by the least square to get UT2R-TAI. Then the linear terms of UT2R-TAI data are modeled by the GM(1, 1), and the residual terms are modeled by the ARIMA. Finally, the UT2R-TAI prediction can be performed based on the combined model of GM(1, 1) and ARIMA, and the UT1-UTC predictions are obtained by adding the corresponding periodic terms, leap second correction and the Earth's zonal harmonic tidal correction. The results show that the proposed model can be used to predict UT1-UTC effectively with higher middle and long-term (from 32 to 360 days) accuracy than those of LS + AR, LS + MAR and WLS + MAR.

  14. Fouling resistance prediction using artificial neural network nonlinear auto-regressive with exogenous input model based on operating conditions and fluid properties correlations

    Science.gov (United States)

    Biyanto, Totok R.

    2016-06-01

    Fouling in a heat exchanger in Crude Preheat Train (CPT) refinery is an unsolved problem that reduces the plant efficiency, increases fuel consumption and CO2 emission. The fouling resistance behavior is very complex. It is difficult to develop a model using first principle equation to predict the fouling resistance due to different operating conditions and different crude blends. In this paper, Artificial Neural Networks (ANN) MultiLayer Perceptron (MLP) with input structure using Nonlinear Auto-Regressive with eXogenous (NARX) is utilized to build the fouling resistance model in shell and tube heat exchanger (STHX). The input data of the model are flow rates and temperatures of the streams of the heat exchanger, physical properties of product and crude blend data. This model serves as a predicting tool to optimize operating conditions and preventive maintenance of STHX. The results show that the model can capture the complexity of fouling characteristics in heat exchanger due to thermodynamic conditions and variations in crude oil properties (blends). It was found that the Root Mean Square Error (RMSE) are suitable to capture the nonlinearity and complexity of the STHX fouling resistance during phases of training and validation.

  15. Nonparametric Autoregression Model on Consumer Price Index%居民消费价格指数的非参数自回归模型

    Institute of Scientific and Technical Information of China (English)

    代洪伟; 凌能祥

    2012-01-01

    The nonparametric autoregression model was established using the data of Chinese consumer pr/ce index in 2004 -2008. The OLS estimation, the orthogonal sequence estimation and spline est/mation were used to estimate the regressive function respectively. The result showed that the nonparametric model is superior to linear models and in the three estimation methods, the orthogonal sequence estimation is the best. Finally, the simulated and predicted results were eomoared with those oresented by LIU Chun - van based on ARIMA model.%利用我国2004年-2008年的居民消费价格指数数据,建立非参数自回归模型,并分别用线性最小二乘方法、正交序列方法和多项式样条方法进行了拟合和预测.结果表明,非参数模型优于线性模型;在三种估计方法中,正交序列估计方法优于其他两种方法.最后将模拟、预测的结果和刘春燕等建立的基于ARIMA模型模拟、预测的结果进行了比较.

  16. Autoregressive bispectrum characteristics of magneto-rheometer

    Institute of Scientific and Technical Information of China (English)

    黄宜坚; 陈丙三; 蒋雨燕

    2008-01-01

    The operating principle of measuring rheological properties of magnetorheological(MR) fluid was expounded by means of a new rheometer with double driving discs rotating at the same speed in the opposite directions.The constitutive equation of MR fluid was established with theoretical analysis from experimental data.The conventional power spectrum approach was unable to detect the existence of quadratic phase coupling for dynamic rheological measurement.Bispectrum analysis is emerging as a new powerful technique in signal processing,which can describe nonlinear coupling,restrain Gaussian noise and reserve phase component.An autoregressive(AR) model of the third order cumulant,the bispectra and bispectral contours were utilized for analyzing the dynamic characteristics of the MR rheometer by merely using the sampled output torque signals when a zero mean non-Gaussian white noise interferes with the rotary disc system.The measurement and analysis process based on virtual instruments were automatically controlled by computer in this paper.The experimental and theoretical results show that rheological properties and dynamic characteristics of MR fluid can be measured with this double disc rheometer.

  17. Intelligent Fault Diagnosis of Rolling Bearing Based on Wavelet Packet Autoregressive Model%基于小波包参数模型的滚动轴承智能故障诊断

    Institute of Scientific and Technical Information of China (English)

    李健宝; 彭涛

    2012-01-01

    针对平稳自回归模型无法准确描述滚动轴承振动信号的非平稳性,提出一种结合小波包分解与自回归模型的故障特征提取方法,以提取能准确反映轴承运行状态的特征向量.首先,通过小渡包变换对滚动轴承运行时产生的非平稳振动信号进行分解,得到一系列刻画原始信号特征的系数;然后,利用自相关算法对各系数建立自回归模型,并将自回归模型的参数作为特征向量;最后,采用支持向量机分类器对提取的特征向量进行故障分类,从而实现滚动轴承的智能故障诊断.仿真结果表明该方法的有效性.%Since the non-stationary of vibration signals cannot be fully described by the stationary autore-gression model, a feature extraction approach based on wavelet packet decomposition(WPD) and autoregressive (AR) model is proposed, and then the feature vectors are extracted to accurately reflect the running state of rolling bearing. Firstly, the non-stationary signals generated by rolling bearing vibration are decomposed into some coefficients by wavelet packet transformation. Then, the coefficients are modeled as AR model and the parameters of AR model are used as the feature vectors. Finally, fault patterns are recognized by the feature vectors using support vector machine (SVM) classifier, consequently the intelligent fault diagnosis is realized. The simulation results show the effectiveness of the proposed method.

  18. Generalization of Brownian Motion with Autoregressive Increments

    CERN Document Server

    Fendick, Kerry

    2011-01-01

    This paper introduces a generalization of Brownian motion with continuous sample paths and stationary, autoregressive increments. This process, which we call a Brownian ray with drift, is characterized by three parameters quantifying distinct effects of drift, volatility, and autoregressiveness. A Brownian ray with drift, conditioned on its state at the beginning of an interval, is another Brownian ray with drift over the interval, and its expected path over the interval is a ray with a slope that depends on the conditioned state. This paper shows how Brownian rays can be applied in finance for the analysis of queues or inventories and the valuation of options. We model a queue's net input process as a superposition of Brownian rays with drift and derive the transient distribution of the queue length conditional on past queue lengths and on past states of the individual Brownian rays comprising the superposition. The transient distributions of Regulated Brownian Motion and of the Regulated Brownian Bridge are...

  19. Detrended Fluctuation Analysis of Autoregressive Processes

    CERN Document Server

    Morariu, V V; Vamos, C; Soltuz, S

    2007-01-01

    Autoregressive processes (AR) have typical short-range memory. Detrended Fluctuation Analysis (DFA) was basically designed to reveal long range correlation in non stationary processes. However DFA can also be regarded as a suitable method to investigate both long-range and short range correlation in non-stationary and stationary systems. Applying DFA to AR processes can help understanding the non uniform correlation structure of such processes. We systematically investigated a first order autoregressive model AR(1) by DFA and established the relationship between the interaction constant of AR(1) and the DFA correlation exponent. The higher the interaction constant the higher is the short range correlation exponent. They are exponentially related. The investigation was extended to AR(2) processes. The presence of a distant positive interaction in addition to a near by interaction will increase the correlation exponent and the range of correlation while the effect of a distant negative interaction will decrease...

  20. Identifying effective connectivity parameters in simulated fMRI: a direct comparison of switching linear dynamic system, stochastic dynamic causal, and multivariate autoregressive models.

    Science.gov (United States)

    Smith, Jason F; Chen, Kewei; Pillai, Ajay S; Horwitz, Barry

    2013-01-01

    The number and variety of connectivity estimation methods is likely to continue to grow over the coming decade. Comparisons between methods are necessary to prune this growth to only the most accurate and robust methods. However, the nature of connectivity is elusive with different methods potentially attempting to identify different aspects of connectivity. Commonalities of connectivity definitions across methods upon which base direct comparisons can be difficult to derive. Here, we explicitly define "effective connectivity" using a common set of observation and state equations that are appropriate for three connectivity methods: dynamic causal modeling (DCM), multivariate autoregressive modeling (MAR), and switching linear dynamic systems for fMRI (sLDSf). In addition while deriving this set, we show how many other popular functional and effective connectivity methods are actually simplifications of these equations. We discuss implications of these connections for the practice of using one method to simulate data for another method. After mathematically connecting the three effective connectivity methods, simulated fMRI data with varying numbers of regions and task conditions is generated from the common equation. This simulated data explicitly contains the type of the connectivity that the three models were intended to identify. Each method is applied to the simulated data sets and the accuracy of parameter identification is analyzed. All methods perform above chance levels at identifying correct connectivity parameters. The sLDSf method was superior in parameter estimation accuracy to both DCM and MAR for all types of comparisons.

  1. Identifying effective connectivity parameters in simulated fMRI: a direct comparison of switching linear dynamic system, stochastic dynamic causal, and multivariate autoregressive models

    Directory of Open Access Journals (Sweden)

    Jason Fitzgerald Smith

    2013-05-01

    Full Text Available The number and variety of connectivity estimation methods is likely to continue to grow over the coming decade. Comparisons between methods are necessary to prune this growth to only the most accurate and robust methods. However, the nature of connectivity is elusive with different methods potentially attempting to identify different aspects of connectivity. Commonalities of connectivity definitions across methods upon which base direct comparisons can be difficult to derive. Here we explicitly define effective connectivity using a common set of observation and state equations that are appropriate for three connectivity methods: Dynamic Causal Modeling (DCM, Multivariate Autoregressive Modeling (MAR, and Switching Linear Dynamic Systems for fMRI (sLDSf. In addition while deriving this set, we show how many other popular functional and effective connectivity methods are actually simplifications of these equations. We discuss implications of these connections for the practice of using one method to simulate data for another method. After mathematically connecting the three effective connectivity methods, simulated fMRI data with varying numbers of regions and task conditions is generated from the common equation. This simulated data explicitly contains the type of the connectivity that the three models were intended to identify. Each method is applied to the simulated data sets and the accuracy of parameter identification is analyzed. All methods perform above chance levels at identifying correct connectivity parameters. The sLDSf method was superior in parameter estimation accuracy to both DCM and MAR for all types of comparisons.

  2. Identifying effective connectivity parameters in simulated fMRI: a direct comparison of switching linear dynamic system, stochastic dynamic causal, and multivariate autoregressive models

    Science.gov (United States)

    Smith, Jason F.; Chen, Kewei; Pillai, Ajay S.; Horwitz, Barry

    2013-01-01

    The number and variety of connectivity estimation methods is likely to continue to grow over the coming decade. Comparisons between methods are necessary to prune this growth to only the most accurate and robust methods. However, the nature of connectivity is elusive with different methods potentially attempting to identify different aspects of connectivity. Commonalities of connectivity definitions across methods upon which base direct comparisons can be difficult to derive. Here, we explicitly define “effective connectivity” using a common set of observation and state equations that are appropriate for three connectivity methods: dynamic causal modeling (DCM), multivariate autoregressive modeling (MAR), and switching linear dynamic systems for fMRI (sLDSf). In addition while deriving this set, we show how many other popular functional and effective connectivity methods are actually simplifications of these equations. We discuss implications of these connections for the practice of using one method to simulate data for another method. After mathematically connecting the three effective connectivity methods, simulated fMRI data with varying numbers of regions and task conditions is generated from the common equation. This simulated data explicitly contains the type of the connectivity that the three models were intended to identify. Each method is applied to the simulated data sets and the accuracy of parameter identification is analyzed. All methods perform above chance levels at identifying correct connectivity parameters. The sLDSf method was superior in parameter estimation accuracy to both DCM and MAR for all types of comparisons. PMID:23717258

  3. A Graphical Approach for Identifying Causal Relationship in Nonlinear Structural Vector Autoregressive Mo dels%非线性结构向量自回归模型因果关系的图模型辨识方法

    Institute of Scientific and Technical Information of China (English)

    魏岳嵩; 杜翠真

    2014-01-01

    确定变量间的因果关系是时间序列分析的重要内容。传统的图模型因果推断算法有着明显的局限性,要求模型是线性的且噪声项服从Gauss分布。本文利用图模型方法辨识非线性结构向量自回归模型变量间的因果关系,给出了一种基于互信息和条件互信息的非线性结构向量自回归因果图模型结构的非参数辨识方法。数值模拟结果验证了方法的有效性。%It is important to detect and clarify the cause-effect relationships among variables in time series analysis. Traditional graphical models causality inference methods have a salient limitation that the model must be linear and with Gaussian noise. In this paper, we apply the graphical models to infer the causal relationships a-mong variables of nonlinear structural vector autoregressive models. We propose a nonparametric method which employs both the mutual information and condi-tional mutual information to identify the causal structure of nonlinear structural vector autoregressive causal graph model. Numerical simulations demonstrate the effectiveness of the method.

  4. 基于时间序列ARMA模型的振动故障预测%Vibration Faults Prediction Based on Time Series Autoregressive Moving Average (ARMA) Model

    Institute of Scientific and Technical Information of China (English)

    刘颖; 严军

    2011-01-01

    By making use of autoregressive moving average (ARMA) model and clustering method, the characteristic vectors of reference samples and fault samples were determined to identify the fault type according to the feature vector distance; and basing on the analog signals from the typical turbine faults, their ARMA prediction models were built to work out the characteristic vector of reference signals and test signals. The testing result proves the success of this method.%运用自回归滑动平均(ARMA)模型和聚类分析方法确定参考样本和故障样本的特征向量,通过特征向量的距离识别故障类型.根据汽轮机典型故障构造模拟信号,建立其ARMA预测模型,通过聚类分析得出标准信号及待测信号的特征向量.经验证,基于ARMA预测模型和聚类分析的方法能够正确识别故障类型.

  5. Series Arc Fault Identification in Low Voltage System Based on Autoregressive Parameter Model%基于自回归参数模型的低压系统串联电弧故障识别

    Institute of Scientific and Technical Information of China (English)

    雍静; 桂小智; 牛亮亮; 曾礼强

    2011-01-01

    This paper presents a series of experimental research results of series arc fault current characteristics in the circuits supplying for typical low-voltage single–phase electric appliances by using the arc generating device.A method based on autoregressive parameter model is proposed to identify series arc fault in low-voltage system.Its processes are as follows: built a 3-order Burg autoregressive(AR) model for the collected current signals,extracted its AR model parameters,and then realized the identification of normal circuit and series arc fault circuit by comparing distance measurement based Euclidean distance squares d 2 of their current signals.Experiments show that this approach not only be adequate for linear loads,but also for non-linear loads.In this paper,current signal recognition problem between non-linear load circuit and series arc fault circuit in low-voltage system is solved.Further more,it suggests a recommended value of the reference vector.%利用电弧发生装置对若干典型的低压单相用电设备在串联故障电弧回路中的工作电流特征进行模拟实验研究,提出了基于自回归参数模型的低压系统串联电弧故障识别方法。采用三阶Burg自回归(autoregressive,AR)模型对采集的电流信号建模,提取其AR模型参数,然后采用基于距离测度的欧氏距离平方d 2实现对低压单相负载在正常回路和串联电弧故障回路电流信号的特征识别和故障辨识。该方法不仅适用于线性负载回路,而且适用于非线性负载回路的串联电弧故障识别。自回归参数模型法有效解决了低压系统串联电弧故障回路与非线性负载回路的电流信号识别问题,论文也同时提出了使用该方法时的参考矢量建议值。

  6. 平滑转换自回归模型的平稳性问题研究%Research on the Stationarity of Smooth Transition Autoregressive Model

    Institute of Scientific and Technical Information of China (English)

    赵春艳

    2012-01-01

    According to the definition of weakly stationary sequence, we consider that the sequence of smooth transition autoregressive model is not weakly stationary, and using the ADF statistic to test its stationarity makes no sense. Furthermore, based on Markov Chain ergodicity, we believe that the STAR model sequence is strictly stationary, and the joint limit of the model coefficients value ensures the stationarity of the model. Using the first order logarithmic STAR model as example, its stationary condition is|β+r|〈1, whiteβ can be equal to 1 and the absolute value can also he less than 1.%根据时间序列宽平稳的定义,本文认为,平滑转换自回归模型的序列不是宽平稳序列,利用ADF统计量检验其平稳性是没有意义的;其次,依据马尔科夫链的遍历性,我们认为,STAR模型的序列是严平稳序列,且通过对模型系数的联合取值的限制保证了模型的平稳性。以一阶对数平滑转换自回归模型为例,其平稳的条件是,β与r符号相反,且|β+r|〈1,β可以等于1,也可以绝对值小于1。

  7. Method of the response adjustment to the impulse of an autoregressive model for stability analysis; Metodo de ajuste de la respuesta al impulso de un modelo autorregresivo para analisis de estabilidad

    Energy Technology Data Exchange (ETDEWEB)

    Castillo D, R.; Ortiz V, J.; Ruiz E, J.A. [ININ, 52750 La Marquesa, Estado de Mexico (Mexico)

    2008-07-01

    The method of the response to the impulse of an autoregressive model for stability analysis of the nuclear boiling water reactors had one of the best behaviors in a range of stable operation conditions to quasi stables during the benchmark of stability of the Forsmark reactors. The method was developed in Mat lab and it uses the Gauss-Newton optimization method for to carry out the adjustment from the response to the impulse. In this work a program in Fortran of the response method to the impulse of an autoregressive model it was developed, which uses an adaptive optimization algorithm called NL2SOL, instead of the original method. This change is due that Gauss-Newton method doesn't converge in some cases to the best adjustment parameters for what the method has been substituted in the more recent Mat lab versions. Among the main obtained results it has that the programmed autoregressive model converges to a smaller order that the original method and while less stable is the reactor it is more big the difference in the order. Also was found an important difference in the first adjustment parameter being caused by the response magnitude to the impulse. As to for the decay ratio and oscillation frequency both programs presented acceptable results. (Author)

  8. Bias in Cross-Sectional Analyses of Longitudinal Mediation: Partial and Complete Mediation under an Autoregressive Model

    Science.gov (United States)

    Maxwell, Scott E.; Cole, David A.; Mitchell, Melissa A.

    2011-01-01

    Maxwell and Cole (2007) showed that cross-sectional approaches to mediation typically generate substantially biased estimates of longitudinal parameters in the special case of complete mediation. However, their results did not apply to the more typical case of partial mediation. We extend their previous work by showing that substantial bias can…

  9. Value at risk estimation using independent component analysis-generalized autoregressive conditional heteroscedasticity (ICA-GARCH) models.

    Science.gov (United States)

    Wu, Edmond H C; Yu, Philip L H; Li, W K

    2006-10-01

    We suggest using independent component analysis (ICA) to decompose multivariate time series into statistically independent time series. Then, we propose to use ICA-GARCH models which are computationally efficient to estimate the multivariate volatilities. The experimental results show that the ICA-GARCH models are more effective than existing methods, including DCC, PCA-GARCH, and EWMA. We also apply the proposed models to compute value at risk (VaR) for risk management applications. The backtesting and the out-of-sample tests validate the performance of ICA-GARCH models for value at risk estimation.

  10. The Prediction of Exchange Rates with the Use of Auto-Regressive Integrated Moving-Average Models

    Directory of Open Access Journals (Sweden)

    Daniela Spiesová

    2014-10-01

    Full Text Available Currency market is recently the largest world market during the existence of which there have been many theories regarding the prediction of the development of exchange rates based on macroeconomic, microeconomic, statistic and other models. The aim of this paper is to identify the adequate model for the prediction of non-stationary time series of exchange rates and then use this model to predict the trend of the development of European currencies against Euro. The uniqueness of this paper is in the fact that there are many expert studies dealing with the prediction of the currency pairs rates of the American dollar with other currency but there is only a limited number of scientific studies concerned with the long-term prediction of European currencies with the help of the integrated ARMA models even though the development of exchange rates has a crucial impact on all levels of economy and its prediction is an important indicator for individual countries, banks, companies and businessmen as well as for investors. The results of this study confirm that to predict the conditional variance and then to estimate the future values of exchange rates, it is adequate to use the ARIMA (1,1,1 model without constant, or ARIMA [(1,7,1,(1,7] model, where in the long-term, the square root of the conditional variance inclines towards stable value.

  11. Study of Feature Extraction Based on Autoregressive Modeling in ECG Automatic Diagnosis%ECG信号自动诊断中回归建模法特征提取的研究

    Institute of Scientific and Technical Information of China (English)

    葛丁飞; 侯北平; 项新建

    2007-01-01

    This article explores the ability of multivariate autoregressive model (MAR) and scalar AR model to extract the features from two-lead electrocardiogram signals in order to classify certain cardiac arrhythmias. The classification performance of four different ECG feature sets based on the model coefficients are shown. The data in the analysis including normal sinus rhythm,atria premature contraction, premature ventricular contraction, ventricular tachycardia, ventricular fibrillation and superventricular tachycardia is obtained from the MIT-BIH database. The classification is performed using a quadratic discriminant function. The results show the MAR coefficients produce the best results among the four ECG representations and the MAR modeling is a useful classification and diagnosis tool.

  12. A Bayesian Model Committee Approach to Forecasting Global Solar Radiation

    CERN Document Server

    Lauret, Philippe; Muselli, Marc; David, Mathieu; Diagne, Hadja; Voyant, Cyril

    2012-01-01

    This paper proposes to use a rather new modelling approach in the realm of solar radiation forecasting. In this work, two forecasting models: Autoregressive Moving Average (ARMA) and Neural Network (NN) models are combined to form a model committee. The Bayesian inference is used to affect a probability to each model in the committee. Hence, each model's predictions are weighted by their respective probability. The models are fitted to one year of hourly Global Horizontal Irradiance (GHI) measurements. Another year (the test set) is used for making genuine one hour ahead (h+1) out-of-sample forecast comparisons. The proposed approach is benchmarked against the persistence model. The very first results show an improvement brought by this approach.

  13. 年径流预测的遗传门限自回归模型%Genetic Threshold Auto-Regressive Model for Predicting Annual Ruu-Off

    Institute of Scientific and Technical Information of China (English)

    金菊良; 杨晓华; 丁晶

    2001-01-01

    为有效利用年径流时间序列资料所隐含的时序分段相依性这一重要信息,提出了用门限自回归模型(TAR)来预测年径流,并研制了TAR建模的一整套简便通用的方案。用所提出的改进遗传算法,可同时优化门限值和自回归系数,从而解决了TAR建模过程所涉及的大量复杂寻优工作这一难题,为TAR模型的广泛应用提供了强有力的工具。实例计算的结果说明这套方案是可行的和有效的;通过门限值的控制作用,TAR模型可以有效地限制模型误差,从而保证TAR模型预测性能的稳健性,提高预测精度。该方案具有通用性,在非线性时序预测中具有重要的理论意义和实用价值。%To effectively utilize the important information of the section interdependence during the time series of annual run-off,threshold auto-regressive(TAR) model is suggested to predict annual runoff.A simple and general scheme is presented for establishing TAR model.With the improved genetic algorithm by the authors,both of threshold values and auto-regressive coefficients can be optimized ,and the difficulty problem of modeling of TAR is resolved,which gives a strong tool for widely applying TAR model.The case study shows that the scheme is practical and efficient,and that TAR model can successfully reduce model errors,and ensure good stability and accuracy of the model forecasting by controlling threshold valves.As a general method,the scheme has major theoretic valve and wide-ranging application for predicting of nonlinear time series.

  14. AUTOREGRESSIVE MODEL AND POWER SPECTRUM CHARATERISTICS OF CURRENT SIGNAL IN HIGH FREQUENCY GROUP PULSE MICRO ELECTROCHEMICAL MACHINING

    Institute of Scientific and Technical Information of China (English)

    TANG Xinglun; ZHANG Zhijing; ZHOU Zhaoying; YANG Xiaodong

    2006-01-01

    The identification of the inter-electrode gap size in the high frequency group pulse micro-electrochemical machining (HGPECM) is mainly discussed. The auto-regressive(AR) model of group pulse current flowing across the cathode and the anode are created under different situations with different processing parameters and inter-electrode gap size. The AR model based on the current signals indicates that the order of the AR model is obviously different relating to the different processing conditions and the inter-electrode gap size; Moreover, it is different about the stability of the dynamic system, i.e. the white noise response of the Green's function of the dynamic system is diverse. In addition, power spectrum method is used in the analysis of the dynamic time series about the current signals with different inter-electrode gap size, the results show that there exists a strongest power spectrum peak, characteristic power spectrum(CPS), to the current signals related to the different inter-electrode gap size in the range of 0~5 kHz. Therefore, the CPS of current signals can implement the identification of the inter-electrode gap.

  15. Seasonal smooth transition autoregression

    NARCIS (Netherlands)

    Ph.H.B.F. Franses (Philip Hans); P. de Bruin (Paul); D.J.C. van Dijk (Dick)

    2000-01-01

    textabstractIn this paper we put forward a new time series model, which describes nonlinearity and seasonality simultaneously. We discuss its representation, estimation of the parameters and inference. This seasonal STAR (SEASTAR) model is examined for its practical usefulness by applying it to 18 q

  16. Unit Root Vector Autoregression with volatility Induced Stationarity

    DEFF Research Database (Denmark)

    Rahbek, Anders; Nielsen, Heino Bohn

    stationarity despite such unit-roots. Specifically, the model bridges vector autoregressions and multivariate ARCH models in which residuals are replaced by levels lagged. An empirical illustration using recent US term structure data is given in which the individual interest rates have unit roots, have...

  17. Unit root vector autoregression with volatility induced stationarity

    DEFF Research Database (Denmark)

    Rahbek, Anders; Nielsen, Heino Bohn

    stationarity despite such unit-roots. Specifically, the model bridges vector autoregressions and multivariate ARCH models in which residuals are replaced by levels lagged. An empirical illustration using recent US term structure data is given in which the individual interest rates have unit roots, have...

  18. Generalizing smooth transition autoregressions

    DEFF Research Database (Denmark)

    Chini, Emilio Zanetti

    forecasting experiment to evaluate its point and density forecasting performances. In all the cases, the dynamic asymmetry in the cycle is efficiently captured by the new model. The GSTAR beats AR and STAR competitors in point forecasting, while this superiority becomes less evident in density forecasting...

  19. Kepler AutoRegressive Planet Search: Motivation & Methodology

    Science.gov (United States)

    Caceres, Gabriel; Feigelson, Eric; Jogesh Babu, G.; Bahamonde, Natalia; Bertin, Karine; Christen, Alejandra; Curé, Michel; Meza, Cristian

    2015-08-01

    The Kepler AutoRegressive Planet Search (KARPS) project uses statistical methodology associated with autoregressive (AR) processes to model Kepler lightcurves in order to improve exoplanet transit detection in systems with high stellar variability. We also introduce a planet-search algorithm to detect transits in time-series residuals after application of the AR models. One of the main obstacles in detecting faint planetary transits is the intrinsic stellar variability of the host star. The variability displayed by many stars may have autoregressive properties, wherein later flux values are correlated with previous ones in some manner. Auto-Regressive Moving-Average (ARMA) models, Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH), and related models are flexible, phenomenological methods used with great success to model stochastic temporal behaviors in many fields of study, particularly econometrics. Powerful statistical methods are implemented in the public statistical software environment R and its many packages. Modeling involves maximum likelihood fitting, model selection, and residual analysis. These techniques provide a useful framework to model stellar variability and are used in KARPS with the objective of reducing stellar noise to enhance opportunities to find as-yet-undiscovered planets. Our analysis procedure consisting of three steps: pre-processing of the data to remove discontinuities, gaps and outliers; ARMA-type model selection and fitting; and transit signal search of the residuals using a new Transit Comb Filter (TCF) that replaces traditional box-finding algorithms. We apply the procedures to simulated Kepler-like time series with known stellar and planetary signals to evaluate the effectiveness of the KARPS procedures. The ARMA-type modeling is effective at reducing stellar noise, but also reduces and transforms the transit signal into ingress/egress spikes. A periodogram based on the TCF is constructed to concentrate the signal

  20. Spatial analysis of the dairy yield using a conditional autoregressive model / Análise espacial da produção leiteira usando um modelo autoregressivo condicional

    Directory of Open Access Journals (Sweden)

    João Domingos Scalon

    2010-07-01

    Full Text Available The dairy yield is one of the most important activities for the Brazilian economy and the use of statistical models may improve the decision making in this productive sector. The aim of this paper was to compare the performance of both the traditional linear regression model and the spatial regression model called conditional autoregressive (CAR to explain how some covariates may contribute for the dairy yield. This work used a database on dairy yield supplied by the Brazilian Institute of Geography and Statistics (IBGE and another database on geographical information of the state of Minas Gerais provided by the Integrated Program of Technological Use of Geographical Information (GEOMINAS. The results showed the superiority of the CAR model over the traditional linear regression model to explain the dairy yield. The CAR model allowed the identification of two different spatial clusters of counties related to the dairy yield in the state of Minas Gerais. The first cluster represents the region where one observes the biggest levels of dairy yield. It is formed by the counties of the Triângulo Mineiro. The second cluster is formed by the northern counties of the state that present the lesser levels of dairy yield. A produção de leite é uma das atividades mais importantes para a economia brasileira e o uso de modelos estatísticos pode auxiliar a tomada de decisão neste setor produtivo. O objetivo deste artigo foi comparar o desempenho do modelo de regressão linear tradicional e do modelo de regressão espacial, denominado de autoregressivo condicional (CAR, para explicar como algumas variáveis preditoras contribuem para a quantidade de leite produzido. Este trabalho usou uma base de dados sobre a produção de leite fornecida pelo Instituto Brasileiro de Geografia e Estatística (IBGE e outra base de dados sobre informações geográficas do estado de Minas Gerais, fornecida pelo Programa Integrado de Uso da Tecnologia de Geoprocessamento

  1. Automating Vector Autoregression on Electronic Patient Diary Data

    NARCIS (Netherlands)

    Emerencia, Ando Celino; Krieke, Lian van der; Bos, Elisabeth H.; de Jonge, Peter; Petkov, Nicolai; Aiello, Marco

    2016-01-01

    Finding the best vector autoregression model for any dataset, medical or otherwise, is a process that, to this day, is frequently performed manually in an iterative manner requiring a statistical expertize and time. Very few software solutions for automating this process exist, and they still requir

  2. The correlation structure of spatial autoregressions on graphs

    NARCIS (Netherlands)

    Martellosio, F.

    2006-01-01

    This paper studies the correlation structure of spatial autoregressions defined over arbitrary configurations of observational units. We derive a number of new properties of the models and provide new interpretations of some of their known properties. A little graph theory helps to clarify how the c

  3. Temporal aggregation in first order cointegrated vector autoregressive

    DEFF Research Database (Denmark)

    la Cour, Lisbeth Funding; Milhøj, Anders

    2006-01-01

    of aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline....

  4. 城市间大气污染相互影响的VAR模型分析%Vector Autoregression Model for Analysis of Air Pollution Interactions between Cities

    Institute of Scientific and Technical Information of China (English)

    伍复胜; 管东生

    2013-01-01

    基于以往研究多采用大气数值模式分析污染物在不同城市之间的输送规律及内外源的贡献率,现从时间序列角度引入一个新方法,应用向量自回归模型的格兰杰因果关系检验、脉冲响应函数及方差分解技术,对广州、佛山、肇庆2003-2012年逐日空气污染指数进行模拟演算,得到城市间大气污染相互影响效应及其贡献.结果表明,广佛地区污染源对肇庆空气质量影响突出,肇庆并未成为广州和佛山的主要污染源.城市间大气污染相互影响存在明显的滞后效应,前7期累积作用较明显,污染物的累积效应容易导致区域性灰霾天气出现.佛山对广州的污染贡献达到了10.9%,广州对佛山的污染贡献相对偏小,佛山对肇庆的污染贡献接近30%,广佛肇经济圈应形成区域性大气污染联防联治机制.%Based on the use of atmospheric models for studying transportation of pollutants between cities as well as the contributions of inner and outer sources,from perspective of time series,Granger causality test,impulse response function and variance decomposition of vector autoregression model was introduced for studying daily air pollution index in Guangzhou,Foshan and Zhaoqing from 2003 to 2012.The air pollution interactions between cities were proved.It was found that air quality of Zhaoqing was heavily affected by pollutants from Foshan and Guangzhou while Zhaoqing was not a major pollution source of Guangzhou and Foshan.Regional haze was caused by the lagged and cumulative effects of pollutants,obvious impact was appeared before lagged 7.The contribution from Foshan to Guangzhou was 10.9% while it was lower from Guangzhou to Foshan.The contribution from Foshan to Zhaoqing was nearly up to 30%.It was necessary to establish regional air pollution prevention mechanism in the economic circle of Guangzhou,Foshan and Zhaoqing.

  5. A Neuro-Fuzzy Approach for Modelling Electricity Demand in Victoria

    OpenAIRE

    Abraham, Ajith; Nath, Baikunth

    2004-01-01

    Neuro-fuzzy systems have attracted growing interest of researchers in various scientific and engineering areas due to the increasing need of intelligent systems. This paper evaluates the use of two popular soft computing techniques and conventional statistical approach based on Box--Jenkins autoregressive integrated moving average (ARIMA) model to predict electricity demand in the State of Victoria, Australia. The soft computing methods considered are an evolving fuzzy neural network (EFuNN) ...

  6. An Autoregressive Method for Simulation Output Analysis.

    Science.gov (United States)

    1982-12-01

    Spectral Density Function 24 3 THE AUTOREGRESSIVE METHOD AND ITS APPLICATIONS...precision of point estimates can be approximated arbitrarily closely by the spectral density function at zero of a finite order autoregressive process...also develop some approximation theorems for continuous spectral density function . It is then demonstrated that a continuous spectral density function

  7. The development of a non-linear autoregressive model with exogenous input (NARX) to model climate-water clarity relationships: reconstructing a historical water clarity index for the coastal waters of the southeastern USA

    Science.gov (United States)

    Lee, Cameron C.; Sheridan, Scott C.; Barnes, Brian B.; Hu, Chuanmin; Pirhalla, Douglas E.; Ransibrahmanakul, Varis; Shein, Karsten

    2016-08-01

    The coastal waters of the southeastern USA contain important protected habitats and natural resources that are vulnerable to climate variability and singular weather events. Water clarity, strongly affected by atmospheric events, is linked to substantial environmental impacts throughout the region. To assess this relationship over the long-term, this study uses an artificial neural network-based time series modeling technique known as non-linear autoregressive models with exogenous input (NARX models) to explore the relationship between climate and a water clarity index (KDI) in this area and to reconstruct this index over a 66-year period. Results show that synoptic-scale circulation patterns, weather types, and precipitation all play roles in impacting water clarity to varying degrees in each region of the larger domain. In particular, turbid water is associated with transitional weather and cyclonic circulation in much of the study region. Overall, NARX model performance also varies—regionally, seasonally and interannually—with wintertime estimates of KDI along the West Florida Shelf correlating to the actual KDI at r > 0.70. Periods of extreme (high) KDI in this area coincide with notable El Niño events. An upward trend in extreme KDI events from 1948 to 2013 is also present across much of the Florida Gulf coast.

  8. Statistical Inference for Autoregressive Conditional Duration Models Based on Empirical Likelihood%基于经验似然的自回归条件久期模型的统计推断

    Institute of Scientific and Technical Information of China (English)

    韩玉; 金应华; 吴武清

    2013-01-01

    利用经验似然方法对自回归条件久期(ACD)模型参数进行统计检验,给出了自回归条件久期模型参数的经验似然比统计量,并证明了该统计量渐近服从x2-分布.数值模拟结果表明,经验似然方法优于拟似然方法.%This paper solves the statistical test problem of an autoregressive conditional duration (ACD) models based on an empirical likelihood method. We construct the log empirical likelihood ratio statistics for the parameters of ACD model, it is showed that the proposed statistics asymptotically follows an χ2-distribution. A numerical simulation demonstrates that the performance of the empirical likelihood method are better than that of the quasi-likelihood method.

  9. A model-based approach to human identification using ECG

    Science.gov (United States)

    Homer, Mark; Irvine, John M.; Wendelken, Suzanne

    2009-05-01

    Biometrics, such as fingerprint, iris scan, and face recognition, offer methods for identifying individuals based on a unique physiological measurement. Recent studies indicate that a person's electrocardiogram (ECG) may also provide a unique biometric signature. Current techniques for identification using ECG rely on empirical methods for extracting features from the ECG signal. This paper presents an alternative approach based on a time-domain model of the ECG trace. Because Auto-Regressive Integrated Moving Average (ARIMA) models form a rich class of descriptors for representing the structure of periodic time series data, they are well-suited to characterizing the ECG signal. We present a method for modeling the ECG, extracting features from the model representation, and identifying individuals using these features.

  10. Identification Structural Vector Autoregressive Causal Graphical Models by Information Theory Criteria%结构向量自回归模型因果图的信息论辨识方法

    Institute of Scientific and Technical Information of China (English)

    魏岳嵩; 田铮; 肖艳婷

    2012-01-01

    Detecting the causal relationships among variables is an important content of time series analysis. In this paper, the causal relationships among variables of structural vector autoregressive model are studied using graphical models, time series causal graph is presented and the structural identification problem of the causal graph is investigated. A three-step procedure is developed to orient the causal direction based on the information theory criteria. The mutual informations and the conditional mutual informations are estimated by the correlation integral. Numerical results demonstrate that the proposed method is able to identify the causal structure of causal graph of structural vector autoregressive model very effectively.%由观测数据确定变量间的因果关系是时间序列分析的重要内容.本文利用图模型方法研究结构向量自回归模型变量间的因果关系,通过时间序列因果图的建立将问题转化为时间序列因果图结构的辨识.基于信息论方法提出了因果性定向的三步准则,利用关联积分估计互信息和条件互信息.模拟结果显示本方法能更有效地辨识结构向量自回归模型因果图的因果结构.

  11. Modified spatial autocorrelation method using autoregressive model for estimating underground velocity structure from microtremor array observation; Bido array tansa ni okeru kukan jiko sokanho no jiko kaiki model wo mochiita kairyo

    Energy Technology Data Exchange (ETDEWEB)

    Yamamoto, H.; Saito, T. [Iwate University, Iwate (Japan). Faculty of Engineering; Obuchi, T. [Kawasaki Geological Engineering Co. Ltd., Tokyo (Japan)

    1998-02-01

    Spatial autocorrelation method (SAC) is an effective analysis for estimating underground S-wave velocity structure from microtremor phase velocity dispersion relation because it has larger detectable range of microtremor wavelength than frequency-wavenumber analysis. However, phase velocities estimated by conventional SAC methods such as band-pass filtered method or Fast Fourier Transform method were not precise if suitable band width was not selected for analysis. We proposed a new technique for SAC using autoregressive model which estimated spectra with high resolution because the best fitting model can be selected using AIC. We apply the new method to calculate phase velocities of microtremors which were observed at a ground of Morioka Technical High School with arrays. As a result, phase velocities calculated by the new method were continuous with frequency although those calculated by the conventional methods were scattered. This indicates that SAC functions calculated by the new method are estimated better than those by conventional SAC methods. 13 refs., 7 figs.

  12. Hemodynamic Monitoring Using Switching Autoregressive Dynamics of Multivariate Vital Sign Time Series

    Science.gov (United States)

    Lehman, Li-wei H.; Nemati, Shamim; Mark, Roger G.

    2016-01-01

    In a critical care setting, shock and resuscitation endpoints are often defined based on arterial blood pressure values. Patient-specific fluctuations and interactions between heart rate (HR) and blood pressure (BP), however, may provide additional prognostic value to stratify individual patients’ risks for adverse outcomes at different blood pressure targets. In this work, we use the switching autoregressive (SVAR) dynamics inferred from the multivariate vital sign time series to stratify mortality risks of intensive care units (ICUs) patients receiving vasopressor treatment. We model vital sign observations as generated from latent states from an autoregressive Hidden Markov Model (AR-HMM) process, and use the proportion of time patients stayed in different latent states to predict outcome. We evaluate the performance of our approach using minute-by-minute HR and mean arterial BP (MAP) of an ICU patient cohort while on vasopressor treatment. Our results indicate that the bivariate HR/MAP dynamics (AUC 0.74 [0.64, 0.84]) contain additional prognostic information beyond the MAP values (AUC 0.53 [0.42, 0.63]) in mortality prediction. Further, HR/MAP dynamics achieved better performance among a subgroup of patients in a low MAP range (median MAP < 65 mmHg) while on pressors. A realtime implementation of our approach may provide clinicians a tool to quantify the effectiveness of interventions and to inform treatment decisions. PMID:27774489

  13. Detecting The Expected Rate of Return Volatility of Financing Instruments of Indonesian Islamic Banking through GARCH Modeling (Generalized Autoregressive Conditional Heteroscedasticity

    Directory of Open Access Journals (Sweden)

    Nurul Huda

    2015-04-01

    Full Text Available Objective - Islamic banks are banks which its activities, both fund raising and funds distribution are on the basis of Islamic principles, namely buying and selling and profit sharing. Islamic banking is aimed at supporting the implementation of national development in order to improve justice, togetherness, and equitable distribution of welfare. In pursuit of supporting the implementation of national development, Islamic banking often faced stability problems of financing instruments being operated. In this case, it is measured by the gap between the actual rate of return and the expected rate of return. The individual actual RoR of this instrument will generate an expected rate of return. This raises the gap or difference between the actual rate of return and the expected rate of return of individual instruments, which in this case is called the abnormal rate of return. The stability of abnormal rate of return of individual instruments is certainly influenced by the stability of the expected rate of return. Expected rate of return has a volatility or fluctuation levels for each financing instrument. It is also a key element or material basis for the establishment of a variance of individual instruments. Variance in this case indicates the level of uncertainty of the rate of return. Individual variance is the origin of the instrument base for variance in the portfolio finance that further a portfolio analysis. So, this paper is going to analyze the level of expected RoR volatility as an initial step to see and predict the stability of the fluctuations in the rate of return of Indonesian Islamic financing instruments.Methods – Probability of Occurence, Expected Rate of Return (RoR and GARCH (Generalized Autoregressive Conditional Heteroscedasticity.Results - The expected RoR volatility of the murabaha and istishna financing instruments tend to be more volatile than expected RoR volatility of musharaka and qardh financing instruments

  14. Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression

    DEFF Research Database (Denmark)

    Lanne, Markku; Luoto, Jani

    Sign-identified structural vector autoregressive (SVAR) models have recently become popular. However, the conventional approach to sign restrictions only yields set identification, and implicitly assumes an informative prior distribution of the impulse responses whose influence does not vanish...... a genuinely noninformative prior and thus learning from the data about the impulse responses. While the shocks are statistically identified, they carry no economic meaning as such, and we propose a procedure for labeling them by their probabilities of satisfying each of the given sign restrictions....... The impulse responses of the identified economic shocks can subsequently be computed in a straightforward manner. Our approach is quite flexible in that it facilitates labeling only a subset of the sign-restricted shocks, and also concluding that none of the sign restrictions is plausible. We illustrate...

  15. Causality analysis of groundwater dynamics based on a Vector Autoregressive model in the semi-arid basin of Gundal (South India)

    Science.gov (United States)

    Mangiarotti, S.; Sekhar, M.; Berthon, L.; Javeed, Y.; Mazzega, P.

    2012-08-01

    Causal relationships existing between observed levels of groundwater in a semi-arid sub-basin of the Kabini River basin (Karnataka state, India) are investigated in this study. A Vector Auto Regressive model is used for this purpose. Its structure is built on an upstream/downstream interaction network based on observed hydro-physical properties. Exogenous climatic forcing is used as an input based on cumulated rainfall departure. Optimal models are obtained thanks to a trial approach and are used as a proxy of the dynamics to derive causal networks. It appears to be an interesting tool for analysing the causal relationships existing inside the basin. The causal network reveals 3 main regions: the Northeastern part of the Gundal basin is closely coupled to the outlet dynamics. The Northwestern part is mainly controlled by the climatic forcing and only marginally linked to the outlet dynamic. Finally, the upper part of the basin plays as a forcing rather than a coupling with the lower part of the basin allowing for a separate analysis of this local behaviour. The analysis also reveals differential time scales at work inside the basin when comparing upstream oriented with downstream oriented causalities. In the upper part of the basin, time delays are close to 2 months in the upward direction and lower than 1 month in the downward direction. These time scales are likely to be good indicators of the hydraulic response time of the basin which is a parameter usually difficult to estimate practically. This suggests that, at the sub-basin scale, intra-annual time scales would be more relevant scales for analysing or modelling tropical basin dynamics in hard rock (granitic and gneissic) aquifers ubiquitous in south India.

  16. A multivariate approach to modeling univariate seasonal time series

    NARCIS (Netherlands)

    Ph.H.B.F. Franses (Philip Hans)

    1994-01-01

    textabstractA seasonal time series can be represented by a vector autoregressive model for the annual series containing the seasonal observations. This model allows for periodically varying coefficients. When the vector elements are integrated, the maximum likelihood cointegration method can be used

  17. Bayesian Analyses of Nonhomogeneous Autoregressive Processes

    Science.gov (United States)

    1986-09-01

    random coefficient autoregressive processes have a wide applicability in the analysis of economic, sociological, biological and industrial data...1980). Approximate Bayesian Methods. Trabajos Estadistica , Vol. 32, pp. 223-237. LIU, L. M. and G. C. TIAO (1980). Random Coefficient First

  18. The Integration Order of Vector Autoregressive Processes

    DEFF Research Database (Denmark)

    Franchi, Massimo

    We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2...

  19. An Extension of Cointegration to Fractional Autoregressive Processes

    DEFF Research Database (Denmark)

    Johansen, Søren

    This paper contains an overview of some recent results on the statistical analysis of cofractional processes, see Johansen and Nielsen (2010b). We first give an brief summary of the analysis of cointegration in the vector autoregressive model and then show how this can be extended to fractional...... processes. The model allows the process X_{t} to be fractional of order d and cofractional of order d-b=0; that is, there exist vectors ß for which ß'X_{t} is fractional of order d-b. We analyse the Gaussian likelihood function to derive estimators and test statistics. The asymptotic properties are derived...

  20. Autoregressive Spectral Estimation for Quasi-Periodic Oscillations

    Institute of Scientific and Technical Information of China (English)

    Li Chen; Ti-Pei Li

    2005-01-01

    Modern methods of spectral estimation based on parametric time-series models are useful tools in power spectral analysis. We apply the autoregressive (AR) model to study quasi-periodic oscillations (QPOs). An empirical formula to estimate the expectation and standard deviation of the noise AR power densities is derived, which can be used to estimate the statistical significance of an apparent QPO peak in an AR spectrum. An iterative adding-noise algorithm in AR spectral analysis is proposed and applied to studying QPOs in the X-ray binary Cir X-1.

  1. Material Modelling - Composite Approach

    DEFF Research Database (Denmark)

    Nielsen, Lauge Fuglsang

    1997-01-01

    , and internal stresses caused by drying shrinkage with experimental results reported in the literature on the mechanical behavior of mature concretes. It is then concluded that the model presented applied in general with respect to age at loading.From a stress analysis point of view the most important finding......This report is part of a research project on "Control of Early Age Cracking" - which, in turn, is part of the major research programme, "High Performance Concrete - The Contractor's Technology (HETEK)", coordinated by the Danish Road Directorate, Copenhagen, Denmark, 1997.A composite......-rheological model of concrete is presented by which consistent predictions of creep, relaxation, and internal stresses can be made from known concrete composition, age at loading, and climatic conditions. No other existing "creep prediction method" offers these possibilities in one approach.The model...

  2. A Note on the Properties of Generalised Separable Spatial Autoregressive Process

    Directory of Open Access Journals (Sweden)

    Mahendran Shitan

    2009-01-01

    Full Text Available Spatial modelling has its applications in many fields like geology, agriculture, meteorology, geography, and so forth. In time series a class of models known as Generalised Autoregressive (GAR has been introduced by Peiris (2003 that includes an index parameter δ. It has been shown that the inclusion of this additional parameter aids in modelling and forecasting many real data sets. This paper studies the properties of a new class of spatial autoregressive process of order 1 with an index. We will call this a Generalised Separable Spatial Autoregressive (GENSSAR Model. The spectral density function (SDF, the autocovariance function (ACVF, and the autocorrelation function (ACF are derived. The theoretical ACF and SDF plots are presented as three-dimensional figures.

  3. Hybrid wavelet-support vector machine approach for modelling rainfall-runoff process.

    Science.gov (United States)

    Komasi, Mehdi; Sharghi, Soroush

    2016-01-01

    Because of the importance of water resources management, the need for accurate modeling of the rainfall-runoff process has rapidly grown in the past decades. Recently, the support vector machine (SVM) approach has been used by hydrologists for rainfall-runoff modeling and the other fields of hydrology. Similar to the other artificial intelligence models, such as artificial neural network (ANN) and adaptive neural fuzzy inference system, the SVM model is based on the autoregressive properties. In this paper, the wavelet analysis was linked to the SVM model concept for modeling the rainfall-runoff process of Aghchai and Eel River watersheds. In this way, the main time series of two variables, rainfall and runoff, were decomposed to multiple frequent time series by wavelet theory; then, these time series were imposed as input data on the SVM model in order to predict the runoff discharge one day ahead. The obtained results show that the wavelet SVM model can predict both short- and long-term runoff discharges by considering the seasonality effects. Also, the proposed hybrid model is relatively more appropriate than classical autoregressive ones such as ANN and SVM because it uses the multi-scale time series of rainfall and runoff data in the modeling process.

  4. 改进模糊自回归模型在预测网络接通率中的应用%Improved fuzzy auto-regressive model for connection rate prediction

    Institute of Scientific and Technical Information of China (English)

    申晨; 孙永雄; 黄丽平; 刘李蓬; 李树秋

    2013-01-01

    针对通信网络中性能指标预测的需要,提出了基于改进的模糊自回归模型的接通率预测方法,研究了拟合度门限自适应的模糊自回归模型.将中值滤波应用于模糊自回归模型的数据预处理中,在此基础上,针对部分应用拟合度门限不明确的特点,将拟合度门限计算式加入预测模型中,实现模型拟合度门限的自适应.仿真实验表明:基于Fuzzy AR模型的预测方法可以用于对接通率的预测,预测结果拟合度较高.%Specific to the need of performance prediction in communication networks, a connection rate prediction method based on fuzzy Auto-Regressive (AR) model was proposed and improved, and the fuzzy AR model based on adaptive fitting degree threshold was studied. The median filtering method was applied to pre-process the data of fuzzy AR model. On this basis, for the uncertain thresholds of some applications, the fitting degree threshold formula was added to the prediction model to make it adaptive. The simulation results show that the predistion method based on fuzzy AR model can be used to predict the connection rate with a higher fitting degree.q

  5. Improved gene prediction by principal component analysis based autoregressive Yule-Walker method.

    Science.gov (United States)

    Roy, Manidipa; Barman, Soma

    2016-01-10

    Spectral analysis using Fourier techniques is popular with gene prediction because of its simplicity. Model-based autoregressive (AR) spectral estimation gives better resolution even for small DNA segments but selection of appropriate model order is a critical issue. In this article a technique has been proposed where Yule-Walker autoregressive (YW-AR) process is combined with principal component analysis (PCA) for reduction in dimensionality. The spectral peaks of DNA signal are used to detect protein-coding regions based on the 1/3 frequency component. Here optimal model order selection is no more critical as noise is removed by PCA prior to power spectral density (PSD) estimation. Eigenvalue-ratio is used to find the threshold between signal and noise subspaces for data reduction. Superiority of proposed method over fast Fourier Transform (FFT) method and autoregressive method combined with wavelet packet transform (WPT) is established with the help of receiver operating characteristics (ROC) and discrimination measure (DM) respectively.

  6. AN EXPONENTIAL INEQUALITY FOR AUTOREGRESSIVE PROCESSES IN ADAPTIVE TRACKING

    Institute of Scientific and Technical Information of China (English)

    Bernard BERCU

    2007-01-01

    A wide range of literature concerning classical asymptotic properties for linear models with adaptive control is available, such as strong laws of large numbers or central limit theorems.Unfortunately, in contrast with the situation without control, it appears to be impossible to find sharp asymptotic or nonasymptotic properties such as large deviation principles or exponential inequalities.Our purpose is to provide a first step towards that direction by proving a very simple exponential inequality for the standard least squares estimator of the unknown parameter of Gaussian autoregressive process in adaptive tracking.

  7. Limit theorems for bifurcating autoregressive processes with missing data

    CERN Document Server

    de Saporta, Benoîte; Marsalle, Laurence

    2010-01-01

    We study the asymptotic behavior of the least squares estimators of the unknown parameters of bifurcating autoregressive processes when some of the data are missing. We model the process of observed data with a two-type Galton-Watson process consistent with the binary tree structure of the data. Under independence between the process leading to the missing data and the BAR process and suitable assumptions on the driven noise, we establish the almost sure convergence of our estimators on the set of non-extinction of the Galton-Watson. We also prove a quadratic strong law and a central limit theorem.

  8. Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression

    Directory of Open Access Journals (Sweden)

    Lili Li

    2016-01-01

    Full Text Available We study the nonlinear autoregressive dynamics of stock index returns in seven major advanced economies (G7 and China. The quantile autoregression model (QAR enables us to investigate the autocorrelation across the whole spectrum of return distribution, which provides more insightful conditional information on multinational stock market dynamics than conventional time series models. The relation between index return and contemporaneous trading volume is also investigated. While prior studies have mixed results on stock market autocorrelations, we find that the dynamics is usually state dependent. The results for G7 stock markets exhibit conspicuous similarities, but they are in manifest contrast to the findings on Chinese stock markets.

  9. Parallel Multiscale Autoregressive Density Estimation

    OpenAIRE

    Reed, Scott; Oord, Aäron van den; Kalchbrenner, Nal; Colmenarejo, Sergio Gómez; Wang, Ziyu; Belov, Dan; de Freitas, Nando

    2017-01-01

    PixelCNN achieves state-of-the-art results in density estimation for natural images. Although training is fast, inference is costly, requiring one network evaluation per pixel; O(N) for N pixels. This can be sped up by caching activations, but still involves generating each pixel sequentially. In this work, we propose a parallelized PixelCNN that allows more efficient inference by modeling certain pixel groups as conditionally independent. Our new PixelCNN model achieves competitive density e...

  10. A Fault Diagnosis Approach for Gears Based on IMF AR Model and SVM

    Directory of Open Access Journals (Sweden)

    Yu Yang

    2008-05-01

    Full Text Available An accurate autoregressive (AR model can reflect the characteristics of a dynamic system based on which the fault feature of gear vibration signal can be extracted without constructing mathematical model and studying the fault mechanism of gear vibration system, which are experienced by the time-frequency analysis methods. However, AR model can only be applied to stationary signals, while the gear fault vibration signals usually present nonstationary characteristics. Therefore, empirical mode decomposition (EMD, which can decompose the vibration signal into a finite number of intrinsic mode functions (IMFs, is introduced into feature extraction of gear vibration signals as a preprocessor before AR models are generated. On the other hand, by targeting the difficulties of obtaining sufficient fault samples in practice, support vector machine (SVM is introduced into gear fault pattern recognition. In the proposed method in this paper, firstly, vibration signals are decomposed into a finite number of intrinsic mode functions, then the AR model of each IMF component is established; finally, the corresponding autoregressive parameters and the variance of remnant are regarded as the fault characteristic vectors and used as input parameters of SVM classifier to classify the working condition of gears. The experimental analysis results show that the proposed approach, in which IMF AR model and SVM are combined, can identify working condition of gears with a success rate of 100% even in the case of smaller number of samples.

  11. Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis

    DEFF Research Database (Denmark)

    Holt, Matthew T.; Terasvirta, Timo

    This paper examines local changes in annual temperature data for the northern and southern hemispheres (1850-2014) by using a multivariate generalisation of the shifting-mean autoregressive model of González and Teräsvirta (2008). Univariate models are first fitted to each series by using the Qui...

  12. Autoregressive cascades on random networks

    Science.gov (United States)

    Iyer, Srikanth K.; Vaze, Rahul; Narasimha, Dheeraj

    2016-04-01

    A network cascade model that captures many real-life correlated node failures in large networks via load redistribution is studied. The considered model is well suited for networks where physical quantities are transmitted, e.g., studying large scale outages in electrical power grids, gridlocks in road networks, and connectivity breakdown in communication networks, etc. For this model, a phase transition is established, i.e., existence of critical thresholds above or below which a small number of node failures lead to a global cascade of network failures or not. Theoretical bounds are obtained for the phase transition on the critical capacity parameter that determines the threshold above and below which cascade appears or disappears, respectively, that are shown to closely follow numerical simulation results.

  13. Autoregressive modeling with exogenous input of middle-latency auditory-evoked potentials to measure rapid changes in depth of anesthesia

    DEFF Research Database (Denmark)

    Jensen, E W; Lindholm, P; Henneberg, S W

    1996-01-01

    with exogeneous input (ARX) model, to produce a sweep-by-sweep estimate of the AEP. The method was clinically evaluated in 10 patients anesthetized with alfentanil and propofol. The time interval between propofol induction and the time when the Na-Pa amplitude was decreased to 25% of the initial amplitude...

  14. The Employment of spatial autoregressive models in predicting demand for natural gas; O Emprego de modelos auto-regressivos espaciais na previsao de demanda para gas natural

    Energy Technology Data Exchange (ETDEWEB)

    Castro, Jorge Henrique de [Petroleo Brasileiro S.A. (PETROBRAS), Rio de Janeiro, RJ (Brazil); Silva, Alexandre Pinto Alves da [Coordenacao dos Programas de Pos-Graduacao de Engenharia (COPPE/UFRJ), RJ (Brazil). Programa de Engenharia Eletrica

    2010-07-01

    Develop the natural gas network is critical success factor for the distribution company. It is a decision that employs the demand given location 'x' and a future time 't' so that the net allows the best conditions for the return of the capital. In this segment, typical network industry, the spatial infra-structure vision associated to the market allows better evaluation of the business because to mitigate costs and risks. In fact, economic models little developed in order to assess the question of the location, due to its little employment by economists. The objective of this article is to analyze the application of spatial perspective in natural gas demand forecasting and to identify the models that can be employed observing issues of dependency and spatial heterogeneity; as well as the capacity of mapping of variables associated with the problem. (author)

  15. Finite-Sample Bias Propagation in Autoregressive Estimation With the Yule–Walker Method

    NARCIS (Netherlands)

    Broersen, P.M.T.

    2009-01-01

    The Yule-Walker (YW) method for autoregressive (AR) estimation uses lagged-product (LP) autocorrelation estimates to compute an AR parametric spectral model. The LP estimates only have a small triangular bias in the estimated autocorrelation function and are asymptotically unbiased. However, using t

  16. Testing for rational bubbles in a co-explosive vector autoregression

    DEFF Research Database (Denmark)

    Engsted, Tom; Nielsen, Bent

    We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable...

  17. SARIMA模型与残差自回归模型在甲肝发病率预测中的应用及比较%Application and comparison of SARIMA and Auto-Regressive model in predicting incidence of hepatitis A

    Institute of Scientific and Technical Information of China (English)

    张兴裕; 周丽君; 刘元元; 李晓松

    2012-01-01

    目的 比较季节性求和自回归移动平均(SARIMA)模型及残差自回归模型在甲肝发病率预测中的应用效果.方法 根据四川省2004年1月~2009年6月的甲肝月发病率资料,分别拟合SARIMA模型和残差自回归模型,比较两种 模型的拟合及预测效果.结果 SARIMA模型的AIC值和BIC值分别为64.98和59.07,残差自回归模型的AIC值和BIC值分别为110.01和103.44; SARIMA模型的拟合值与实际值的MAPE、MAE及MSE分别为0.034 9、0.083 5及0.001 6,残差自回归模型的SARIMA的拟合值与实际值的MAPE、MAE及MSE分别为0.055 7、0.139 2及0.005 0.结论SARIMA模型的拟合与预测效果优于残差自回归模型.%OBJECTIVE To compare the efficiency of SARIMA model and Auto-Regressive model in the application of predicting the incidence of seasonal infectious disease. METHODS Monthly incidences data of hepatitis A in Sichuan province from Jan.2004 to Jun.2009 were used to fit SARIMA model and Auto-Regressive model respectively. The incidences of the last six months of 2009 were regarded as the testing data so as to compare the fitting and predictive efficiency of the two models. RESULTS AIC and BIC of SAIMA model were 64.9 and 59.07; AIC and BIC of Auto-Regressive model were 110.01 and 103.44. The MAPE, MAE and MSE of the predicted values by SARIMA were 0.034 9, 0.083 5 and 0.001 6, respectively; the MAPE, MAE and MSE of the predicted values by SARIMA were 0.055 7, 0.139 2 and 0.005 0, respectively. CONCLUSION The fitting and predicting effects of SARIMA are better than Auto-Regressive model.

  18. The application of spatial autoregressive model in Xinjiang R & D spillover effect%空间自回归模型在新疆 R & D 溢出效应中的应用

    Institute of Scientific and Technical Information of China (English)

    张静; 张辉国; 胡锡健

    2015-01-01

    If the industrial enterprise's main business income of all the cities in Xinjiang,the num-ber of persons in science and technology of industrial enterprise and the enterprise capital of in-dustrial enterprise R&D in activities are used as explanatory variables,then spatial autoregres-sive model of research and experimental development funds in the industrial enterprise can be es-tablished.Model data analysis shows that there is obvious autocorrelation phenomenon in indus-trial enterprise R&D investment in all the cities of Xinjiang,and it reflects the gathered effect of industrial enterprise R&D investment there.The R&D strategy of industrial enterprise in the same area is characterized by significant alternative interaction.The reasearch of this article -shows that improve the protection of intellectual property rights is important to improve the in-novation motivation of industrial enterprise in Xinjiang.%利用新疆各地州市的工业企业主营业务收入、工业企业科技人员数、工业企业 R&D 活动中的企业资金作为解释变量,建立了工业企业研究与实验发展经费的空间自回归模型。模型数据分析表明:新疆各地州市工业企业 R&D 投入存在明显的空间自相关现象,它反映了新疆各地州市工业企业 R&D 投入存在聚集效应;同一地区的工业企业研发策略表现为显著的替代型互动。研究表明,提高知识产权保护执行力度对有效提高新疆工业企业创新激励具有重要意义。

  19. Multivariate autoregressive algorithms for ocean wave modelling

    Digital Repository Service at National Institute of Oceanography (India)

    Mandal, S.; Lyons, G.J.; Witz, J.A.

    stream_size 8 stream_content_type text/plain stream_name 2_Int_Offshore_Polar_Eng_Conf_Proc_1992_77.pdf.txt stream_source_info 2_Int_Offshore_Polar_Eng_Conf_Proc_1992_77.pdf.txt Content-Encoding ISO-8859-1 Content-Type text...

  20. Cardiac arrhythmia classification based on mutiple lead electrocardiogram signals and multivariate autoregressive modeling method%基于多导联心电信号和多变量回归模型的心律失常的分类

    Institute of Scientific and Technical Information of China (English)

    葛丁飞; 李时辉; Krishnan S. M.

    2004-01-01

    心电信号(ECG)智能分析非常有利于严重心脏病人的自动诊断.本文介绍了多变量回归模型(MAR)建模法,利用MAR模型从双导联ECG中提取特征对ECG信号进行分类.在分类时,利用MAR模型系数及其K-L变换(K-L MAR系数)作为信号特征,并采用了树状决策过程和二次判别函数(QDF)分类器.利用文中方法对MIT-BIH标准数据库中的正常窦性心律(NSR)、期收缩(APC)、心室早期收缩(PVC)、心室性心动过速(VT)和心室纤维性颤动(VF)各300个样本信号进行了建模和测试. 结果表明,为了达到分类目的,MAR模型阶数取4是足够的,基于MAR系数的分类取得了比基于K-L MAR系数的分类稍好的结果.基于MAR系数的分类获得了97.3%~98.6%的分类精度.%Artificial-intelligence analysis of electrocardiogram (ECG) signals is great benefit to the automatic diagnosis in critical ill patients. Multivariate autoregressive modeling (MAR) for the purpose of classification of cardiac arrhythmias has been introduced. The MAR coefficients and K-L transformation of MAR coefficients extracted from two-lead ECG signals have been utilized for representing the ECG signals. The ECG data obtained from MIT-BIH database included normal sinus rhythm, atria premature contraction, premature ventricular contraction, ventricular tachycardia, and ventricular fibrillation. The current classification was performed using a stage-by-stage quadratic discriminant function (QDF). The results showed a MAR order of 4 was sufficient for the purpose of classification, and MAR coefficients produced slightly better results than K-L transformation of MAR coefficients. The classification accuracy of 97.3% to 98.6% based on MAR coefficients is obtained in the research.

  1. A General Representation Theorem for Integrated Vector Autoregressive Processes

    DEFF Research Database (Denmark)

    Franchi, Massimo

    We study the algebraic structure of an I(d) vector autoregressive process, where d is restricted to be an integer. This is useful to characterize its polynomial cointegrating relations and its moving average representation, that is to prove a version of the Granger representation theorem valid...... for I(d) vector autoregressive processes...

  2. Autoregressive trispectrum and its slices analysis of magnetorheological damping device

    Institute of Scientific and Technical Information of China (English)

    陈丙三; 黄宜坚

    2008-01-01

    A combined magnetorheological damper combined with rubber spring and magnetorheological damper is addressed.This type of damping device has inherited the merits of rubber spring and the magnetorheological damper.The test damping device is made up of combined magnetorheological damper,amplitude controller,signal collecting device,computer software for dynamic analysis,etc.When a zeromean and non-Gaussian white noise interfere with the device,a time series autoregressive(AR) model is conducted by using the sampled experimental data.Trispectrum and its slices analysis are emerging as a new powerful technique in signal processing,which is put forward for investigating the dynamic characteristics of the magnetorheological vibrant device.The present of trispectrum and its slices analysis change with the variation of controllable working magnetic field of the damper correspondingly.It is indicated that AR trispectrum and its slices analysis methods are feasible and effective for investigation of magnetorheological vibrant device.

  3. ARIMA乘积季节模型在出院人数预测中的应用%Application of multiple Seasonal Autoregressive Integrated Moving Average Model in Forecasting the Number of Discharged Patients

    Institute of Scientific and Technical Information of China (English)

    王舟强; 吴小琴

    2015-01-01

    目的:了解医院住院量的变动趋势,对医院出院人数进行预测分析,为科学决策提供依据。方法应用乘积季节ARIMA模型对某院2003年1月-2013年12月出院人数进行模型拟合,预测2014年各月出院人数,用2014年1月-6月份实际资料评估模型的预测效果。结果该院出院人数呈明显的季节效应,且出院人数逐年小幅递增;乘积季节ARIMA(1,1,1)×(0,1,1)12(不含常数项)模型为最优模型,标准化的BIC(标准化贝叶斯信息量)和平均绝对误差百分比(MAPE)值最小,BIC 值为11.98,MAPE 值为5.43。Ljung-Box检验无统计学意义(Q18=10.575,P=0.782)。结论乘积季节ARIMA模型可以较好地拟合出院人数的变化趋势,是一种短期预测精度较高的预测模型。%Objective To investigate inpatient quantity trend, forecast the number of discharged patients ,in order to provide basis for scientific decision.Methods ARIMA model was used to fit the number of discharged patients from January 2003 to December 2013 in the hospital by multiple seasonal autoregressive integrated moving average model,to predict the number of discharged patients from January to December 2014. The model was evaluated by actual data from January to June 2014. Results The seasonal effect in the number of discharged patients was observed in the hospital, and the incidence was slightly increased over time. Multiple seasonal1,1,1, 0,1,1ARIMA  12(have no constant) model has been found as the most suitable mode with least Normalized Bayesian Information Criteria(BIC)of 11.98 and Mean Absolute Percent Error(MAPE)of 5.43. The mode was further validated by LjungBox test(Q18=10.575,P=0.782). Conclusion Multiple seasonal ARIMAmodel can be used to fit the changes of the number of discharged and it is a predicted model of high precision for short time forecast.

  4. Seemingly Unrelated Regression Approach for GSTARIMA Model to Forecast Rain Fall Data in Malang Southern Region Districts

    Directory of Open Access Journals (Sweden)

    Siti Choirun Nisak

    2016-06-01

    Full Text Available Time series forecasting models can be used to predict phenomena that occur in nature. Generalized Space Time Autoregressive (GSTAR is one of time series model used to forecast the data consisting the elements of time and space. This model is limited to the stationary and non-seasonal data. Generalized Space Time Autoregressive Integrated Moving Average (GSTARIMA is GSTAR development model that accommodates the non-stationary and seasonal data. Ordinary Least Squares (OLS is method used to estimate parameter of GSTARIMA model. Estimation parameter of GSTARIMA model using OLS will not produce efficiently estimator if there is an error correlation between spaces. Ordinary Least Square (OLS assumes the variance-covariance matrix has a constant error ~(, but in fact, the observatory spaces are correlated so that variance-covariance matrix of the error is not constant. Therefore, Seemingly Unrelated Regression (SUR approach is used to accommodate the weakness of the OLS. SUR assumption is ~(, for estimating parameters GSTARIMA model. The method to estimate parameter of SUR is Generalized Least Square (GLS. Applications GSTARIMA-SUR models for rainfall data in the region Malang obtained GSTARIMA models ((1(1,12,36,(0,(1-SUR with determination coefficient generated with the average of 57.726%.

  5. A MODEL FOR THE PALM OIL MARKET IN NIGERIA: AN ECONOMETRICS APPROACH

    Directory of Open Access Journals (Sweden)

    Henry Egwuma

    2016-04-01

    Full Text Available The aim of this study is to formulate and estimate a model for the palm oil market in Nigeria with a view to identifying principal factors that shape the Nigerian palm oil industry. Four structural equation models comprising palm oil production, import demand, domestic demand and producer price have been estimated using the autoregressive distributed lag (ARDL cointegration approach over the 1970 to 2011 period. The results reveal that significant factors that influence the Nigerian palm oil industry include the own price, technological improvements, and income level. Government expenditure on agricultural development is also an important determinant, which underscores the need for government support in agriculture. Our model provides a useful framework for analyzing the effects of changes in major exogenous variables such as income or import tariff on the production, demand, and price of palm oil.

  6. An algebraic method for constructing stable and consistent autoregressive filters

    Energy Technology Data Exchange (ETDEWEB)

    Harlim, John, E-mail: jharlim@psu.edu [Department of Mathematics, the Pennsylvania State University, University Park, PA 16802 (United States); Department of Meteorology, the Pennsylvania State University, University Park, PA 16802 (United States); Hong, Hoon, E-mail: hong@ncsu.edu [Department of Mathematics, North Carolina State University, Raleigh, NC 27695 (United States); Robbins, Jacob L., E-mail: jlrobbi3@ncsu.edu [Department of Mathematics, North Carolina State University, Raleigh, NC 27695 (United States)

    2015-02-15

    In this paper, we introduce an algebraic method to construct stable and consistent univariate autoregressive (AR) models of low order for filtering and predicting nonlinear turbulent signals with memory depth. By stable, we refer to the classical stability condition for the AR model. By consistent, we refer to the classical consistency constraints of Adams–Bashforth methods of order-two. One attractive feature of this algebraic method is that the model parameters can be obtained without directly knowing any training data set as opposed to many standard, regression-based parameterization methods. It takes only long-time average statistics as inputs. The proposed method provides a discretization time step interval which guarantees the existence of stable and consistent AR model and simultaneously produces the parameters for the AR models. In our numerical examples with two chaotic time series with different characteristics of decaying time scales, we find that the proposed AR models produce significantly more accurate short-term predictive skill and comparable filtering skill relative to the linear regression-based AR models. These encouraging results are robust across wide ranges of discretization times, observation times, and observation noise variances. Finally, we also find that the proposed model produces an improved short-time prediction relative to the linear regression-based AR-models in forecasting a data set that characterizes the variability of the Madden–Julian Oscillation, a dominant tropical atmospheric wave pattern.

  7. Very-short-term wind power probabilistic forecasts by sparse vector autoregression

    DEFF Research Database (Denmark)

    Dowell, Jethro; Pinson, Pierre

    2016-01-01

    A spatio-temporal method for producing very-shortterm parametric probabilistic wind power forecasts at a large number of locations is presented. Smart grids containing tens, or hundreds, of wind generators require skilled very-short-term forecasts to operate effectively, and spatial information....... The location parameter for multiple wind farms is modelled as a vector-valued spatiotemporal process, and the scale parameter is tracked by modified exponential smoothing. A state-of-the-art technique for fitting sparse vector autoregressive models is employed to model the location parameter and demonstrates...... numerical advantages over conventional vector autoregressive models. The proposed method is tested on a dataset of 5 minute mean wind power generation at 22 wind farms in Australia. 5-minute-ahead forecasts are produced and evaluated in terms of point and probabilistic forecast skill scores and calibration...

  8. Adaptive Time-Frequency Distribution Based on Time-Varying Autoregressive and Its Application to Machine Fault Diagnosis

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    The time-varying autoregressive (TVAR) modeling of a non-stationary signal is studied. In the proposed method, time-varying parametric identification of a non-stationary signal can be translated into a linear time-invariant problem by introducing a set of basic functions. Then, the parameters are estimated by using a recursive least square algorithm with a forgetting factor and an adaptive time-frequency distribution is achieved. The simulation results show that the proposed approach is superior to the short-time Fourier transform and Wigner distribution. And finally, the proposed method is applied to the fault diagnosis of a bearing, and the experiment result shows that the proposed method is effective in feature extraction.

  9. 用多元矢量自回归模型推断微生物相互作用关系%Inference of microbial interactions using multivariate vector auto-regression model

    Institute of Scientific and Technical Information of China (English)

    刘飞

    2014-01-01

    识别微生物相互作用关系对理解微生物社团的结构和功能非常重要,一般的推断微生物相互作用关系的计算方法都是基于微生物个体相似性来提出的。比起来自多个不同社区的相互作用网络,一个复杂社区的时间动态性可以揭示更为复杂的相互作用关系。尽管已经提出了很多相似性方法来分析时间序列数据,但是没有有效的多元统计方法来推断和评估作用关系的统计显著性。在本文中,我们提出从人类肠道微生物的时间序列数据来推断出微生物动态相互作用,我们使用多元统计方法--矢量自回归(MVAR)模型,并应用它对重复抗生素扰动的人类肠道微生物时间序列数据集进行网络预测。所涉及的微生物相互作用提供了一个微生物社团的动态观点,这可能是对相似或相关方法的一种新型补充。%There is an increasing interest in identifying the microbial interactions that are important to under-stand the structure and the function of microbial community. Computational inference methods of microbial relation-ships are currently based on the similarity among microbial individuals. The dynamics of a single complex communi-ty over time can reveal complex interacting patterns than collecting samples from multiple distinct communities. Al-though similarity-based method has been proposed for analyzing time series data, there are no efficient multivariate statistical methods to infer and access the statistical significance of the estimated associations. In this paper, we pro-vide the first attempt to infer dynamic microbial interactions from the time series of human gut microbiomes. We use a multivariate statistical method-Vector Auto-regression (MVAR) model and apply the method on time series datas-et of human gut microbiomes with repeated antibiotic perturbations. The referred microbial interactions provide a dy-namical view of a microbial community which could

  10. 考虑外生变量的基于分数差分的石油价格部分线性自回归预测模型%Partially Linear Autoregression Forecasting Model of Oil Price with Exogenous Variables Based on Fractional Differencing

    Institute of Scientific and Technical Information of China (English)

    井霞霞; 张德生; 张延利; 刘常明

    2012-01-01

    WTI spot price sequence was modelled and predicted based on fractional differencing and partially linear autoregression model. Firstly,we obtain a sbort memory sequence which is fractional differencing e-liminating long memory of the WTI spot price sequence, and then introduce a model in which the parameters part considers oil prices and the non-parameters aspect considers exogenous variables that is world oil supply,by using partially linear autoregression model for the short memory. The result of the empirical research show that the partially linear autoregression model based on fractional differencing can solve the oil price forecast better,and the introduction of exogenous variables,further enhance the model's explanatory ability,and make up the model of the external factors neglected defects. It has high accuracy of prediction.%利用分数差分和部分线性自回归模型对WTI现货价格序列进行了建模和预测研究.首先通过分数差分消除了WTI现货价格序列中的长记忆性,得到一条短记忆序列.然后,利用部分线性自回归模型对其进行建模,其中,参数部分考虑石油价格,非参数部分考虑外生变量,即世界供应量,并进行了实证研究.研究结果表明:基于分数差分的部分线性自回归模型能较好地解决石油价格预测这一问题,而引入外生变量后,进一步增强了模型的解释能力,弥补了模型对外界影响因素忽略的缺陷,预测精度较高.

  11. On robust forecasting of autoregressive time series under censoring

    OpenAIRE

    Kharin, Y.; Badziahin, I.

    2009-01-01

    Problems of robust statistical forecasting are considered for autoregressive time series observed under distortions generated by interval censoring. Three types of robust forecasting statistics are developed; meansquare risk is evaluated for the developed forecasting statistics. Numerical results are given.

  12. Autoregressive Prediction with Rolling Mechanism for Time Series Forecasting with Small Sample Size

    Directory of Open Access Journals (Sweden)

    Zhihua Wang

    2014-01-01

    Full Text Available Reasonable prediction makes significant practical sense to stochastic and unstable time series analysis with small or limited sample size. Motivated by the rolling idea in grey theory and the practical relevance of very short-term forecasting or 1-step-ahead prediction, a novel autoregressive (AR prediction approach with rolling mechanism is proposed. In the modeling procedure, a new developed AR equation, which can be used to model nonstationary time series, is constructed in each prediction step. Meanwhile, the data window, for the next step ahead forecasting, rolls on by adding the most recent derived prediction result while deleting the first value of the former used sample data set. This rolling mechanism is an efficient technique for its advantages of improved forecasting accuracy, applicability in the case of limited and unstable data situations, and requirement of little computational effort. The general performance, influence of sample size, nonlinearity dynamic mechanism, and significance of the observed trends, as well as innovation variance, are illustrated and verified with Monte Carlo simulations. The proposed methodology is then applied to several practical data sets, including multiple building settlement sequences and two economic series.

  13. 基于向量自回归模型的中国食物安全预警%China’s food security and early-warning system based on vector autoregression (VAR) model

    Institute of Scientific and Technical Information of China (English)

    吕新业

    2013-01-01

      该文基于1980-2011年的人均粮食、禽蛋、肉类和水产品的产量和消费量数据,以及4类产品的价格指数数据,构建了中国食物安全预警的指标体系,运用向量自回归模型(VAR)对食物安全指标进行预测,再采用主成分法合成食物安全总指数,在此基础上对2012-2013年的食物安全状况进行预警分析。结果表明:基于1980-2011年的数据得到2012年和2013年的食物安全总指数分别为62和74。通过对2011年的预警值与实际值的比较,得到该预警模型的预测误差仅为4.2%,说明该模型系统的预测精度较高,可以用于未来中国食物安全预警研究。总体来看,2012-2013年中国食物安全状况为轻警。%Food safety pre-warning is the process including the application of the pre-warning theory and method, analysis and evaluation of relevant indicators reflecting food safety conditions, prediction of safety development and sounding the pre-warning. China’s food safety pre-warning supply derived from the study of China's grain security early warning system, which can be divided into a traditional warning model and a modern warning model. The traditional model is mainly based on the predictions of the trend of the grain production growth rate, predictions of grain supply and demand, predictions of grain staff indexes, predictions of grain fluctuation cycle, and predictions of prosperity. Based on China’s per capita production and consumption of grain, eggs, meat, aquaculture products, and the price indexes of these four types of products from 1980 to 2011, this study establishes the index for China’s food safety early-warning system. The Vector Autoregression Model (VAR) is used to predict China’s food safety indicators, and the Principal Component statistical method is used to synthesize the aggregated food safety index, and China’s food safety in 2012 and 2013 are projected. Specifically, this study

  14. Multiple Model Approaches to Modelling and Control,

    DEFF Research Database (Denmark)

    on the ease with which prior knowledge can be incorporated. It is interesting to note that researchers in Control Theory, Neural Networks,Statistics, Artificial Intelligence and Fuzzy Logic have more or less independently developed very similar modelling methods, calling them Local ModelNetworks, Operating...... of introduction of existing knowledge, as well as the ease of model interpretation. This book attempts to outlinemuch of the common ground between the various approaches, encouraging the transfer of ideas.Recent progress in algorithms and analysis is presented, with constructive algorithms for automated model...

  15. Model Construct Based Enterprise Model Architecture and Its Modeling Approach

    Institute of Scientific and Technical Information of China (English)

    2002-01-01

    In order to support enterprise integration, a kind of model construct based enterprise model architecture and its modeling approach are studied in this paper. First, the structural makeup and internal relationships of enterprise model architecture are discussed. Then, the concept of reusable model construct (MC) which belongs to the control view and can help to derive other views is proposed. The modeling approach based on model construct consists of three steps, reference model architecture synthesis, enterprise model customization, system design and implementation. According to MC based modeling approach a case study with the background of one-kind-product machinery manufacturing enterprises is illustrated. It is shown that proposal model construct based enterprise model architecture and modeling approach are practical and efficient.

  16. Visibility graph analysis for re-sampled time series from auto-regressive stochastic processes

    Science.gov (United States)

    Zhang, Rong; Zou, Yong; Zhou, Jie; Gao, Zhong-Ke; Guan, Shuguang

    2017-01-01

    Visibility graph (VG) and horizontal visibility graph (HVG) play a crucial role in modern complex network approaches to nonlinear time series analysis. However, depending on the underlying dynamic processes, it remains to characterize the exponents of presumably exponential degree distributions. It has been recently conjectured that there is a critical value of exponent λc = ln 3 / 2 , which separates chaotic from correlated stochastic processes. Here, we systematically apply (H)VG analysis to time series from autoregressive (AR) models, which confirms the hypothesis that an increased correlation length results in larger values of λ > λc. On the other hand, we numerically find a regime of negatively correlated process increments where λ < λc, which is in contrast to this hypothesis. Furthermore, by constructing graphs based on re-sampled time series, we find that network measures show non-trivial dependencies on the autocorrelation functions of the processes. We propose to choose the decorrelation time as the maximal re-sampling delay for the algorithm. Our results are detailed for time series from AR(1) and AR(2) processes.

  17. Bayesian informative dropout model for longitudinal binary data with random effects using conditional and joint modeling approaches.

    Science.gov (United States)

    Chan, Jennifer S K

    2016-05-01

    Dropouts are common in longitudinal study. If the dropout probability depends on the missing observations at or after dropout, this type of dropout is called informative (or nonignorable) dropout (ID). Failure to accommodate such dropout mechanism into the model will bias the parameter estimates. We propose a conditional autoregressive model for longitudinal binary data with an ID model such that the probabilities of positive outcomes as well as the drop-out indicator in each occasion are logit linear in some covariates and outcomes. This model adopting a marginal model for outcomes and a conditional model for dropouts is called a selection model. To allow for the heterogeneity and clustering effects, the outcome model is extended to incorporate mixture and random effects. Lastly, the model is further extended to a novel model that models the outcome and dropout jointly such that their dependency is formulated through an odds ratio function. Parameters are estimated by a Bayesian approach implemented using the user-friendly Bayesian software WinBUGS. A methadone clinic dataset is analyzed to illustrate the proposed models. Result shows that the treatment time effect is still significant but weaker after allowing for an ID process in the data. Finally the effect of drop-out on parameter estimates is evaluated through simulation studies.

  18. Hydraulic Modeling of Lock Approaches

    Science.gov (United States)

    2016-08-01

    cation was that the guidewall design changed from a solid wall to one on pilings in which water was allowed to flow through and/or under the wall ...develops innovative solutions in civil and military engineering, geospatial sciences, water resources, and environmental sciences for the Army, the...magnitudes and directions at lock approaches for open river conditions. The meshes were developed using the Surface- water Modeling System. The two

  19. Unified structural equation modeling approach for the analysis of multisubject, multivariate functional MRI data.

    Science.gov (United States)

    Kim, Jieun; Zhu, Wei; Chang, Linda; Bentler, Peter M; Ernst, Thomas

    2007-02-01

    The ultimate goal of brain connectivity studies is to propose, test, modify, and compare certain directional brain pathways. Path analysis or structural equation modeling (SEM) is an ideal statistical method for such studies. In this work, we propose a two-stage unified SEM plus GLM (General Linear Model) approach for the analysis of multisubject, multivariate functional magnetic resonance imaging (fMRI) time series data with subject-level covariates. In Stage 1, we analyze the fMRI multivariate time series for each subject individually via a unified SEM model by combining longitudinal pathways represented by a multivariate autoregressive (MAR) model, and contemporaneous pathways represented by a conventional SEM. In Stage 2, the resulting subject-level path coefficients are merged with subject-level covariates such as gender, age, IQ, etc., to examine the impact of these covariates on effective connectivity via a GLM. Our approach is exemplified via the analysis of an fMRI visual attention experiment. Furthermore, the significant path network from the unified SEM analysis is compared to that from a conventional SEM analysis without incorporating the longitudinal information as well as that from a Dynamic Causal Modeling (DCM) approach.

  20. Statistical early-warning indicators based on Auto-Regressive Moving-Average processes

    CERN Document Server

    Faranda, Davide; Dubrulle, Bérengère

    2014-01-01

    We address the problem of defining early warning indicators of critical transition. To this purpose, we fit the relevant time series through a class of linear models, known as Auto-Regressive Moving-Average (ARMA(p,q)) models. We define two indicators representing the total order and the total persistence of the process, linked, respectively, to the shape and to the characteristic decay time of the autocorrelation function of the process. We successfully test the method to detect transitions in a Langevin model and a 2D Ising model with nearest-neighbour interaction. We then apply the method to complex systems, namely for dynamo thresholds and financial crisis detection.

  1. 小时风速的向量自回归模型及应用%A Vector Autoregression Model of Hourly Wind Speed and Its Applications in Hourly Wind Speed Forecasting

    Institute of Scientific and Technical Information of China (English)

    孙春顺; 王耀南; 李欣然

    2008-01-01

    短期风速预测对并网风力发电系统的运行有重要意义.该文简述了短期风速预测的价值和方法,分析了小时风速的日变化特点.在此基础上,提出将单变量小时风速时间序列向量化,以消除日周期非平稳,进而建立了向量自回归(vector autoregression,VAR)模型,并用于小时风速预测.算例表明,正常天气条件下,该模型可以预测提前72h的短期风速.该文提出的方法和模型具有一定的普适性,可用于其滗它领域的时间序列建模与预测.

  2. Approaches to Modeling of Recrystallization

    Directory of Open Access Journals (Sweden)

    Håkan Hallberg

    2011-10-01

    Full Text Available Control of the material microstructure in terms of the grain size is a key component in tailoring material properties of metals and alloys and in creating functionally graded materials. To exert this control, reliable and efficient modeling and simulation of the recrystallization process whereby the grain size evolves is vital. The present contribution is a review paper, summarizing the current status of various approaches to modeling grain refinement due to recrystallization. The underlying mechanisms of recrystallization are briefly recollected and different simulation methods are discussed. Analytical and empirical models, continuum mechanical models and discrete methods as well as phase field, vertex and level set models of recrystallization will be considered. Such numerical methods have been reviewed previously, but with the present focus on recrystallization modeling and with a rapidly increasing amount of related publications, an updated review is called for. Advantages and disadvantages of the different methods are discussed in terms of applicability, underlying assumptions, physical relevance, implementation issues and computational efficiency.

  3. The modified Yule-Walker method for α-stable time series models

    Science.gov (United States)

    Kruczek, Piotr; Wyłomańska, Agnieszka; Teuerle, Marek; Gajda, Janusz

    2017-03-01

    This paper discusses the problem of parameters estimation for stable periodic autoregressive (PAR) time series. Considered models generalize popular and widely accepted autoregressive (AR) time series. By examining measures of dependence for α-stable processes, first we introduce new empirical estimator of autocovariation for α-stable sequences. Based on this approach we generalize Yule-Walker method for estimation of parameter for PAR time series. Thus we fill a gap in estimation methods for non-Gaussian models. We test proposed procedure and show its consistency. Moreover, we use our approach to model real empirical data thus showing usefulness of heavy tailed models in statistical modelling.

  4. An SEM Approach to Continuous Time Modeling of Panel Data: Relating Authoritarianism and Anomia

    Science.gov (United States)

    Voelkle, Manuel C.; Oud, Johan H. L.; Davidov, Eldad; Schmidt, Peter

    2012-01-01

    Panel studies, in which the same subjects are repeatedly observed at multiple time points, are among the most popular longitudinal designs in psychology. Meanwhile, there exists a wide range of different methods to analyze such data, with autoregressive and cross-lagged models being 2 of the most well known representatives. Unfortunately, in these…

  5. Analysis of Influential Factors of Carbon Emissions for Energy Consumption in China Based on Vector Autoregression Model%基于VAR模型的中国能源消费碳排放影响因素分析

    Institute of Scientific and Technical Information of China (English)

    李湘梅; 姚智爽

    2014-01-01

    基于向量自回归(vector autoregression,VAR)模型分析方法,从能源消费总量、人均GDP、城市化水平和能源强度四个指标出发,分阶段分析了我国1953~2011年间的能源消费碳排放情况.研究表明:能源消费总量和城市化水平是驱动碳排放的核心动力,且两者作用相反.能源消费总量对碳排放起到正向驱动作用,碳排放对其响应与能源强度类似,持久且不稳定,说明中国能源“双控”政策的效果显现仍需很长一段时间,但两者的结构冲击对碳排放贡献大,效果明显.而城市化水平对碳排放有反向驱动作用,其响应可在短期内达到平稳状态,加之其结构冲击对碳排放贡献度可达10%,使之成为未来降低我国碳排放的有力措施.与此同时,把握住人均GDP与碳排放互为Granger因的特殊关系,积极推行绿色GDP,也可有效降低碳排放.

  6. Representation of cointegrated autoregressive processes with application to fractional processes

    DEFF Research Database (Denmark)

    Johansen, Søren

    2009-01-01

    We analyse vector autoregressive processes using the matrix valued characteristic polynomial. The purpose of this  paper is to give a survey of the mathematical results on inversion of a matrix polynomial in case there are unstable roots, to study integrated and cointegrated processes. The new...

  7. Temporal aggregation in a periodically integrated autoregressive process

    NARCIS (Netherlands)

    Ph.H.B.F. Franses (Philip Hans); H.P. Boswijk (Peter)

    1996-01-01

    textabstractA periodically integrated autoregressive process for a time series which is observed S times per year assumes the presence of S - 1 cointegration relations between the annual series containing the seasonal observations, with the additional feature that these relations are different acros

  8. Limit theorems for bifurcating integer-valued autoregressive processes

    CERN Document Server

    Blandin, Vassili

    2012-01-01

    We study the asymptotic behavior of the weighted least squares estimators of the unknown parameters of bifurcating integer-valued autoregressive processes. Under suitable assumptions on the immigration, we establish the almost sure convergence of our estimators, together with the quadratic strong law and central limit theorems. All our investigation relies on asymptotic results for vector-valued martingales.

  9. Recursive Least Squares Estimator with Multiple Exponential Windows in Vector Autoregression

    Institute of Scientific and Technical Information of China (English)

    Hong-zhi An; Zhi-guo Li

    2002-01-01

    In the parameter tracking of time-varying systems, the ordinary method is weighted least squares with the rectangular window or the exponential window. In this paper we propose a new kind of sliding window called the multiple exponential window, and then use it to fit time-varying Gaussian vector autoregressive models. The asymptotic bias and covariance of the estimator of the parameter for time-invariant models are also derived. Simulation results show that the multiple exponential windows have better parameter tracking effect than rectangular windows and exponential ones.

  10. Simulated village locations in Thailand: A multi-scale model including a neural network approach.

    Science.gov (United States)

    Tang, Wenwu; Malanson, George P; Entwisle, Barbara

    2009-04-01

    The simulation of rural land use systems, in general, and rural settlement dynamics in particular has developed with synergies of theory and methods for decades. Three current issues are: linking spatial patterns and processes, representing hierarchical relations across scales, and considering nonlinearity to address complex non-stationary settlement dynamics. We present a hierarchical simulation model to investigate complex rural settlement dynamics in Nang Rong, Thailand. This simulation uses sub-models to allocate new villages at three spatial scales. Regional and sub-regional models, which involve a nonlinear space-time autoregressive model implemented in a neural network approach, determine the number of new villages to be established. A dynamic village niche model, establishing pattern-process link, was designed to enable the allocation of villages into specific locations. Spatiotemporal variability in model performance indicates the pattern of village location changes as a settlement frontier advances from rice-growing lowlands to higher elevations. Experiments results demonstrate this simulation model can enhance our understanding of settlement development in Nang Rong and thus gain insight into complex land use systems in this area.

  11. Remittance and economic development: Evidence from Bangladesh using unrestricted error correction model and Engle-Granger cointegration approach

    Directory of Open Access Journals (Sweden)

    Shimul Shafiun N

    2013-04-01

    Full Text Available Remittance is one of the popular issues in the development economics. This paper attempted at finding the relationship between remittance flow and economic development using time series data of 1976-2007. The two modern time series econometric approaches- bound testing Autoregressive Distributed Lag Models or Unrestricted Error Correction Model (UECM and Engel Granger two step procedure for co-integration test- were executed and this study found that remittance was not significantly affecting the GDP per capita both in the short and long run although the foreign direct investment was found significant in the short but not in the long run. The study suggested adopting appropriate steps so that these can be used as a contributor to the economic development.

  12. Deficit Financed Public Expenditure in Argentina: A Structural Vector Autoregression Analysis

    OpenAIRE

    2012-01-01

    The goal of the paper is to analyze the importance of government debt in the propagation of fiscal shocks in the Argentine economy. For that reason we augment a standard fiscal policy vector Autoregression with the nominal debt to GDP ratio taken from a recently compiled IMF database. The main finding is that government debt has a crucial role for the implications of the model, and that the omission of the feedback of the debt (as a ratio of GDP) to the other variables in the system leads to ...

  13. Two-Limit Tobit-Autoregression-GARCH with Estimates of the Model of Stock Daily Return Rate with Price Limits%双限制Tobit自回归GARCH模型和价格限制下股票日收益率模型估计

    Institute of Scientific and Technical Information of China (English)

    曾卫东

    2004-01-01

    本文提出了一个在价格限制即涨跌停板制度存在的情况下,股票日收益率可能遵循的时间序列模型-双限制Tobit自回归GARCH模型,建立了此模型的最大似然估计法(MLE),用Monte Carlo实验研究了最大似然估计量性质.作为此模型应用,我们对一个上海股市的股票日收益率模型参数进行了估计.%A stock daily return rate with price limits model, called two-limit Tobit-autoregression-GARCH (TLTARG)is introduced. Maximum likelihood estimation (MLE) for this model is constructed. With Monte Carlo experiments, the MLE is examined. An example of TLTARG model estimation on stock daily return rate in Shanghai stock market is given.

  14. Autoregressive Methods for Spectral Estimation from Interferograms.

    Science.gov (United States)

    1986-09-19

    Forman/Steele/Vanasse [12] phase filter approach, which approximately removes the linear phase distortion introduced into the interferogram by retidation...band interferogram for the spectrum to be analyzed. The symmetrizing algorithm, based on the Forman/Steele/Vanasse method [12] computes a phase filter from

  15. Validation of Modeling Flow Approaching Navigation Locks

    Science.gov (United States)

    2013-08-01

    instrumentation, direction vernier . ........................................................................ 8  Figure 11. Plan A lock approach, upstream approach...13-9 8 Figure 9. Tools and instrumentation, bracket attached to rail. Figure 10. Tools and instrumentation, direction vernier . Numerical model

  16. Parameter Estimation for Generalized Brownian Motion with Autoregressive Increments

    CERN Document Server

    Fendick, Kerry

    2011-01-01

    This paper develops methods for estimating parameters for a generalization of Brownian motion with autoregressive increments called a Brownian ray with drift. We show that a superposition of Brownian rays with drift depends on three types of parameters - a drift coefficient, autoregressive coefficients, and volatility matrix elements, and we introduce methods for estimating each of these types of parameters using multidimensional times series data. We also cover parameter estimation in the contexts of two applications of Brownian rays in the financial sphere: queuing analysis and option valuation. For queuing analysis, we show how samples of queue lengths can be used to estimate the conditional expectation functions for the length of the queue and for increments in its net input and lost potential output. For option valuation, we show how the Black-Scholes-Merton formula depends on the price of the security on which the option is written through estimates not only of its volatility, but also of a coefficient ...

  17. Maximum Likelihood Dynamic Factor Modeling for Arbitrary "N" and "T" Using SEM

    Science.gov (United States)

    Voelkle, Manuel C.; Oud, Johan H. L.; von Oertzen, Timo; Lindenberger, Ulman

    2012-01-01

    This article has 3 objectives that build on each other. First, we demonstrate how to obtain maximum likelihood estimates for dynamic factor models (the direct autoregressive factor score model) with arbitrary "T" and "N" by means of structural equation modeling (SEM) and compare the approach to existing methods. Second, we go beyond standard time…

  18. Asymptotic results for bifurcating random coefficient autoregressive processes

    CERN Document Server

    Blandin, Vassili

    2012-01-01

    The purpose of this paper is to study the asymptotic behavior of the weighted least square estimators of the unknown parameters of random coefficient bifurcating autoregressive processes. Under suitable assumptions on the immigration and the inheritance, we establish the almost sure convergence of our estimators, as well as a quadratic strong law and central limit theorems. Our study mostly relies on limit theorems for vector-valued martingales.

  19. Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility

    OpenAIRE

    Mark J. Jensen

    2015-01-01

    Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market and foreign exchange rates. This highly persistent, infinite variance - but still mean reverting - behavior is commonly found with nonparametric estimates of the fractional differencing parameter d, for financial volatility. In this paper, a fully parametric Bayesian estimator, robust to nonstationarity, is designed for the fractionally integrated, autoregressive, stochastic ...

  20. Model Mapping Approach Based on Ontology Semantics

    Directory of Open Access Journals (Sweden)

    Jinkui Hou

    2013-09-01

    Full Text Available The mapping relations between different models are the foundation for model transformation in model-driven software development. On the basis of ontology semantics, model mappings between different levels are classified by using structural semantics of modeling languages. The general definition process for mapping relations is explored, and the principles of structure mapping are proposed subsequently. The approach is further illustrated by the mapping relations from class model of object oriented modeling language to the C programming codes. The application research shows that the approach provides a theoretical guidance for the realization of model mapping, and thus can make an effective support to model-driven software development

  1. Forecasting autoregressive time series under changing persistence

    DEFF Research Database (Denmark)

    Kruse, Robinson

    Changing persistence in time series models means that a structural change from nonstationarity to stationarity or vice versa occurs over time. Such a change has important implications for forecasting, as negligence may lead to inaccurate model predictions. This paper derives generally applicable...... recommendations, no matter whether a change in persistence occurs or not. Seven different forecasting strategies based on a biasedcorrected estimator are compared by means of a large-scale Monte Carlo study. The results for decreasing and increasing persistence are highly asymmetric and new to the literature. Its...... good predictive ability and its balanced performance among different settings strongly advocate the use of forecasting strategies based on the Bai-Perron procedure....

  2. Medium term municipal solid waste generation prediction by autoregressive integrated moving average

    Energy Technology Data Exchange (ETDEWEB)

    Younes, Mohammad K.; Nopiah, Z. M.; Basri, Noor Ezlin A.; Basri, Hassan [Department of Civil and Structural Engineering, Faculty of Engineering and Built Environment, Universiti Kebangsaan Malaysia, 43600 Bangi, Selangor (Malaysia)

    2014-09-12

    Generally, solid waste handling and management are performed by municipality or local authority. In most of developing countries, local authorities suffer from serious solid waste management (SWM) problems and insufficient data and strategic planning. Thus it is important to develop robust solid waste generation forecasting model. It helps to proper manage the generated solid waste and to develop future plan based on relatively accurate figures. In Malaysia, solid waste generation rate increases rapidly due to the population growth and new consumption trends that characterize the modern life style. This paper aims to develop monthly solid waste forecasting model using Autoregressive Integrated Moving Average (ARIMA), such model is applicable even though there is lack of data and will help the municipality properly establish the annual service plan. The results show that ARIMA (6,1,0) model predicts monthly municipal solid waste generation with root mean square error equals to 0.0952 and the model forecast residuals are within accepted 95% confident interval.

  3. Medium term municipal solid waste generation prediction by autoregressive integrated moving average

    Science.gov (United States)

    Younes, Mohammad K.; Nopiah, Z. M.; Basri, Noor Ezlin A.; Basri, Hassan

    2014-09-01

    Generally, solid waste handling and management are performed by municipality or local authority. In most of developing countries, local authorities suffer from serious solid waste management (SWM) problems and insufficient data and strategic planning. Thus it is important to develop robust solid waste generation forecasting model. It helps to proper manage the generated solid waste and to develop future plan based on relatively accurate figures. In Malaysia, solid waste generation rate increases rapidly due to the population growth and new consumption trends that characterize the modern life style. This paper aims to develop monthly solid waste forecasting model using Autoregressive Integrated Moving Average (ARIMA), such model is applicable even though there is lack of data and will help the municipality properly establish the annual service plan. The results show that ARIMA (6,1,0) model predicts monthly municipal solid waste generation with root mean square error equals to 0.0952 and the model forecast residuals are within accepted 95% confident interval.

  4. Model based feature fusion approach

    NARCIS (Netherlands)

    Schwering, P.B.W.

    2001-01-01

    In recent years different sensor data fusion approaches have been analyzed and evaluated in the field of mine detection. In various studies comparisons have been made between different techniques. Although claims can be made for advantages for using certain techniques, until now there has been no si

  5. Geometrical approach to fluid models

    NARCIS (Netherlands)

    Kuvshinov, B. N.; Schep, T. J.

    1997-01-01

    Differential geometry based upon the Cartan calculus of differential forms is applied to investigate invariant properties of equations that describe the motion of continuous media. The main feature of this approach is that physical quantities are treated as geometrical objects. The geometrical notio

  6. Global energy modeling - A biophysical approach

    Energy Technology Data Exchange (ETDEWEB)

    Dale, Michael

    2010-09-15

    This paper contrasts the standard economic approach to energy modelling with energy models using a biophysical approach. Neither of these approaches includes changing energy-returns-on-investment (EROI) due to declining resource quality or the capital intensive nature of renewable energy sources. Both of these factors will become increasingly important in the future. An extension to the biophysical approach is outlined which encompasses a dynamic EROI function that explicitly incorporates technological learning. The model is used to explore several scenarios of long-term future energy supply especially concerning the global transition to renewable energy sources in the quest for a sustainable energy system.

  7. The chronic diseases modelling approach

    NARCIS (Netherlands)

    Hoogenveen RT; Hollander AEM de; Genugten MLL van; CCM

    1998-01-01

    A mathematical model structure is described that can be used to simulate the changes of the Dutch public health state over time. The model is based on the concept of demographic and epidemiologic processes (events) and is mathematically based on the lifetable method. The population is divided over s

  8. Wavelet time series MPARIMA modeling for power system short term load forecasting

    Institute of Scientific and Technical Information of China (English)

    冉启文; 单永正; 王建赜; 王骐

    2003-01-01

    The wavelet power system short term load forecasting(STLF) uses a mulriple periodical autoregressive integrated moving average(MPARIMA) model to model the mulriple near-periodicity, nonstationarity and nonlinearity existed in power system short term quarter-hour load time series, and can therefore accurately forecast the quarter-hour loads of weekdays and weekends, and provide more accurate results than the conventional techniques, such as artificial neural networks and autoregressive moving average(ARMA) models test results. Obtained with a power system networks in a city in Northeastern part of China confirm the validity of the approach proposed.

  9. An individual height-diameter model constructed using spatial autoregressive models within natural spruce-fir and broadleaf mixed stands%天然云冷杉针阔混交林单木胸径树高空间自回归模型研究

    Institute of Scientific and Technical Information of China (English)

    娄明华; 张会儒; 雷相东; 卢军

    2016-01-01

    Spatial autocorrelation is a common phenomenon in forestry. It directly connects competition and interaction among individuals. Individual height-diameter models are fundamentally important for forest growth, yield modeling and forecasting. Violation of residual independent distribution assumption in ordinary least squares ( OLS) will inflate type 1 errors, lead to biased estimates of the standard errors of model parameters, and decrease the efficiency of estimation in a regression model, if the spatial autocorrelation among the individuals is ignored. Therefore, three simultaneous autoregressive ( SAR ) models, including spatial lag model ( SLM ) , spatial error model ( SEM ) and spatial Durbin model ( SDM) within five spatial weight matrices, including Delaunay triangulation ( DT ) , inverse distance raised to one power ( ID1 ) , inverse distance raised to two powers ( ID2 ) , inverse distance raised to five powers ( ID5 ) and Gaussian variogram ( GV ) , were applied to construct individual height-diameter models of natural spruce-fir and broadleaf mixed stands which are the main forest type in northeast China, with linearization individual height-diameter OLS model as a benchmark model. Model parameters of three SAR models were estimated by maximum likelihood. Model coefficients of OLS and three SAR models were tested by t-test, the autoregressive parameters of three SAR models were all tested by likelihood ratio test. Moran’s I ( MI) was selected to compare autocorrelation of four model residuals. Three statistical indices, i. e. coefficient of determination (R2), root mean square error (RMSE) and Akaike information criterion ( AIC) , were regarded as the appropriate criteria to identify the model fitting among OLS, SLM, SDM and SEM. Mean square error ( MS ) was selected to identify the predictive validity among four models. Results show that residuals of OLS were positive spatial dependence for ignoring the spatial autocorrelation among individuals. The

  10. Learning Actions Models: Qualitative Approach

    DEFF Research Database (Denmark)

    Bolander, Thomas; Gierasimczuk, Nina

    2015-01-01

    identifiability (conclusively inferring the appropriate action model in finite time) and identifiability in the limit (inconclusive convergence to the right action model). We show that deterministic actions are finitely identifiable, while non-deterministic actions require more learning power......—they are identifiable in the limit.We then move on to a particular learning method, which proceeds via restriction of a space of events within a learning-specific action model. This way of learning closely resembles the well-known update method from dynamic epistemic logic. We introduce several different learning...

  11. A Unified Approach to Modeling and Programming

    DEFF Research Database (Denmark)

    Madsen, Ole Lehrmann; Møller-Pedersen, Birger

    2010-01-01

    of this paper is to go back to the future and get inspiration from SIMULA and propose a unied approach. In addition to reintroducing the contributions of SIMULA and the Scandinavian approach to object-oriented programming, we do this by discussing a number of issues in modeling and programming and argue3 why we......SIMULA was a language for modeling and programming and provided a unied approach to modeling and programming in contrast to methodologies based on structured analysis and design. The current development seems to be going in the direction of separation of modeling and programming. The goal...

  12. Time series autoregressive moving average model in the prediction of clinical use of red blood cells in Dongguan%时间序列自回归移动平均模型在临床红细胞用量预测中的应用

    Institute of Scientific and Technical Information of China (English)

    叶柱江; 刘赴平

    2013-01-01

    Objective To study the feasibility of the autoregressive moving average model ( ARIMA) in predicting the clinical usage of red blood cells ( RBC) , and provide information for inventory management of blood collection facilities. Methods The monthly use of RBCs in Dongguan city between January 2006 and December 2011 were taken to establish the model of time series data source. Using SPSS software to set up the time series model, the theoretical amount of blood use in Dongguan city for the first 5 months of 2012 was calculated and compared to the actual use of RBCs. Results The predicted values calculated by the ARIMA model and the actual values fit well, with only minor differences. The result of the mean of relative error was 4. 45% , that is - 6. 32% ( January) , 13. 28% ( February) ,7. 78% ( March) ,3. 73% ( A-pril) ,3.78% (May). Conclusion Time series autoregressive moving average model may be use to predict the clinical age for blood collection facilities in the future. The model can provide a reliable reference for blood centers to make their blood supply plans.%目的 验证自回归移动平均模型(ARIMA)预测临床红细胞用量的可行性,并为血站制定备血计划提供数据支持.方法 选择东莞市2006年1月~2011年12月6年的每月临床红细胞用量作为时间序列模型的数据源.利用SPSS软件进行时间序列模型的构建,通过对2012年的前5个月临床红细胞实际用量进行模型检验.并据此对模型预测临床红细胞用量分析的可行性、建模步骤及准确性验证进行了探讨.结果 ARIMA模型计算出的预测值与实际值拟合较好,相对误差较小.1月份相对误差为-6.32%,2月份为13.28%,3月份为7.78%,4月份为3.73%,5月份为3.78%,平均相对误差为4.45%.结论 可以应用时间序列自回归移动平均模型对未来的临床红细胞用量进行预测,为血站制定备血计划提供可靠的参考依据.

  13. ECONOMETRIC APPROACH TO DIFFERENCE EQUATIONS MODELING OF EXCHANGE RATES CHANGES

    Directory of Open Access Journals (Sweden)

    Josip Arnerić

    2010-12-01

    Full Text Available Time series models that are commonly used in econometric modeling are autoregressive stochastic linear models (AR and models of moving averages (MA. Mentioned models by their structure are actually stochastic difference equations. Therefore, the objective of this paper is to estimate difference equations containing stochastic (random component. Estimated models of time series will be used to forecast observed data in the future. Namely, solutions of difference equations are closely related to conditions of stationary time series models. Based on the fact that volatility is time varying in high frequency data and that periods of high volatility tend to cluster, the most successful and popular models in modeling time varying volatility are GARCH type models and their variants. However, GARCH models will not be analyzed because the purpose of this research is to predict the value of the exchange rate in the levels within conditional mean equation and to determine whether the observed variable has a stable or explosive time path. Based on the estimated difference equation it will be examined whether Croatia is implementing a stable policy of exchange rates.

  14. Identification of Civil Engineering Structures using Multivariate ARMAV and RARMAV Models

    DEFF Research Database (Denmark)

    Kirkegaard, Poul Henning; Andersen, P.; Brincker, Rune

    This paper presents how to make system identification of civil engineering structures using multivariate auto-regressive moving-average vector (ARMAV) models. Further, the ARMAV technique is extended to a recursive technique (RARMAV). The ARMAV model is used to identify measured stationary data....... The results show the usefulness of the approaches for identification of civil engineering structures excited by natural excitation...

  15. Sparse time series chain graphical models for reconstructing genetic networks

    NARCIS (Netherlands)

    Abegaz, Fentaw; Wit, Ernst

    2013-01-01

    We propose a sparse high-dimensional time series chain graphical model for reconstructing genetic networks from gene expression data parametrized by a precision matrix and autoregressive coefficient matrix. We consider the time steps as blocks or chains. The proposed approach explores patterns of co

  16. Comparison of conventional averaged and rapid averaged, autoregressive-based extracted auditory evoked potentials for monitoring the hypnotic level during propofol induction

    DEFF Research Database (Denmark)

    Litvan, Héctor; Jensen, Erik W; Galan, Josefina;

    2002-01-01

    The extraction of the middle latency auditory evoked potentials (MLAEP) is usually done by moving time averaging (MTA) over many sweeps (often 250-1,000), which could produce a delay of more than 1 min. This problem was addressed by applying an autoregressive model with exogenous input (ARX) that...

  17. Modified Testing for Structural Changes in Autoregressive Processes

    Institute of Scientific and Technical Information of China (English)

    Hao JIN; Zheng TIAN; Yun Feng YANG

    2011-01-01

    In this paper, we consider the problem of detecting for structural changes in the autoregressive processes including AR(p) process. In performing a test, we employ the conventional residual CUSUM of squares test (RCUSQ) statistic. The RCUSQ test is based on the subsampiing method introduced by Jach and Kokoszka [J. Methodology and Computing in Applied Probability 25(2004)]. It is shown that under regularity conditions, the asymptotic distribution of the test statistic is the function of a standard Brownian bridge. Simulation results as to AR(1)process and an example of real data analysis axe provided for illustration.

  18. Matrix Model Approach to Cosmology

    CERN Document Server

    Chaney, A; Stern, A

    2015-01-01

    We perform a systematic search for rotationally invariant cosmological solutions to matrix models, or more specifically the bosonic sector of Lorentzian IKKT-type matrix models, in dimensions $d$ less than ten, specifically $d=3$ and $d=5$. After taking a continuum (or commutative) limit they yield $d-1$ dimensional space-time surfaces, with an attached Poisson structure, which can be associated with closed, open or static cosmologies. For $d=3$, we obtain recursion relations from which it is possible to generate rotationally invariant matrix solutions which yield open universes in the continuum limit. Specific examples of matrix solutions have also been found which are associated with closed and static two-dimensional space-times in the continuum limit. The solutions provide for a matrix resolution of cosmological singularities. The commutative limit reveals other desirable features, such as a solution describing a smooth transition from an initial inflation to a noninflationary era. Many of the $d=3$ soluti...

  19. Szekeres models: a covariant approach

    CERN Document Server

    Apostolopoulos, Pantelis S

    2016-01-01

    We exploit the 1+1+2 formalism to covariantly describe the inhomogeneous and anisotropic Szekeres models. It is shown that an \\emph{average scale length} can be defined \\emph{covariantly} which satisfies a 2d equation of motion driven from the \\emph{effective gravitational mass} (EGM) contained in the dust cloud. The contributions to the EGM are encoded to the energy density of the dust fluid and the free gravitational field $E_{ab}$. In addition the notions of the Apparent and Absolute Apparent Horizons are briefly discussed and we give an alternative gauge-invariant form to define them in terms of the kinematical variables of the spacelike congruences. We argue that the proposed program can be used in order to express the Sachs optical equations in a covariant form and analyze the confrontation of a spatially inhomogeneous irrotational overdense fluid model with the observational data.

  20. Learning Actions Models: Qualitative Approach

    DEFF Research Database (Denmark)

    Bolander, Thomas; Gierasimczuk, Nina

    2015-01-01

    —they are identifiable in the limit.We then move on to a particular learning method, which proceeds via restriction of a space of events within a learning-specific action model. This way of learning closely resembles the well-known update method from dynamic epistemic logic. We introduce several different learning...... methods suited for finite identifiability of particular types of deterministic actions....

  1. Modeling software behavior a craftsman's approach

    CERN Document Server

    Jorgensen, Paul C

    2009-01-01

    A common problem with most texts on requirements specifications is that they emphasize structural models to the near exclusion of behavioral models-focusing on what the software is, rather than what it does. If they do cover behavioral models, the coverage is brief and usually focused on a single model. Modeling Software Behavior: A Craftsman's Approach provides detailed treatment of various models of software behavior that support early analysis, comprehension, and model-based testing. Based on the popular and continually evolving course on requirements specification models taught by the auth

  2. Current approaches to gene regulatory network modelling

    Directory of Open Access Journals (Sweden)

    Brazma Alvis

    2007-09-01

    Full Text Available Abstract Many different approaches have been developed to model and simulate gene regulatory networks. We proposed the following categories for gene regulatory network models: network parts lists, network topology models, network control logic models, and dynamic models. Here we will describe some examples for each of these categories. We will study the topology of gene regulatory networks in yeast in more detail, comparing a direct network derived from transcription factor binding data and an indirect network derived from genome-wide expression data in mutants. Regarding the network dynamics we briefly describe discrete and continuous approaches to network modelling, then describe a hybrid model called Finite State Linear Model and demonstrate that some simple network dynamics can be simulated in this model.

  3. Challenges in structural approaches to cell modeling.

    Science.gov (United States)

    Im, Wonpil; Liang, Jie; Olson, Arthur; Zhou, Huan-Xiang; Vajda, Sandor; Vakser, Ilya A

    2016-07-31

    Computational modeling is essential for structural characterization of biomolecular mechanisms across the broad spectrum of scales. Adequate understanding of biomolecular mechanisms inherently involves our ability to model them. Structural modeling of individual biomolecules and their interactions has been rapidly progressing. However, in terms of the broader picture, the focus is shifting toward larger systems, up to the level of a cell. Such modeling involves a more dynamic and realistic representation of the interactomes in vivo, in a crowded cellular environment, as well as membranes and membrane proteins, and other cellular components. Structural modeling of a cell complements computational approaches to cellular mechanisms based on differential equations, graph models, and other techniques to model biological networks, imaging data, etc. Structural modeling along with other computational and experimental approaches will provide a fundamental understanding of life at the molecular level and lead to important applications to biology and medicine. A cross section of diverse approaches presented in this review illustrates the developing shift from the structural modeling of individual molecules to that of cell biology. Studies in several related areas are covered: biological networks; automated construction of three-dimensional cell models using experimental data; modeling of protein complexes; prediction of non-specific and transient protein interactions; thermodynamic and kinetic effects of crowding; cellular membrane modeling; and modeling of chromosomes. The review presents an expert opinion on the current state-of-the-art in these various aspects of structural modeling in cellular biology, and the prospects of future developments in this emerging field.

  4. Distributed simulation a model driven engineering approach

    CERN Document Server

    Topçu, Okan; Oğuztüzün, Halit; Yilmaz, Levent

    2016-01-01

    Backed by substantive case studies, the novel approach to software engineering for distributed simulation outlined in this text demonstrates the potent synergies between model-driven techniques, simulation, intelligent agents, and computer systems development.

  5. Integer valued autoregressive processes with generalized discrete Mittag-Leffler marginals

    Directory of Open Access Journals (Sweden)

    Kanichukattu K. Jose

    2013-05-01

    Full Text Available In this paper we consider a generalization of discrete Mittag-Leffler distributions. We introduce and study the properties of a new distribution called geometric generalized discrete Mittag-Leffler distribution. Autoregressive processes with geometric generalized discrete Mittag-Leffler distributions are developed and studied. The distributions are further extended to develop a more general class of geometric generalized discrete semi-Mittag-Leffler distributions. The processes are extended to higher orders also. An application with respect to an empirical data on customer arrivals in a bank counter is also given. Various areas of potential applications like human resource development, insect growth, epidemic modeling, industrial risk modeling, insurance and actuaries, town planning etc are also discussed.

  6. 区间时间序列向量自回归模型在短期电力负荷预测中的应用%Application of Interval Time-Series Vector Autoregressive Model in Short-Term Load Forecasting

    Institute of Scientific and Technical Information of China (English)

    万昆; 柳瑞禹

    2012-01-01

    电力负荷数据通常随着时间的不同而呈现一定的波动性.针对电力负荷随着时间波动呈现出一个范围波动的特点,采用区间时间序列估计与向量自回归相结合的方法对短期电力负荷进行预测,预测结果拟合良好,提高了电网公司对电力负荷的预测精确度,为电网公司制定负荷预报曲线提供精准数据信息,为电网公司编制电力负荷计划提供理论支持和有效的方法.%In general, power load fluctuates along with time. In allusion to the feature that the fluctuation of power load with time is within a range, a method integrating interval time series estimation with vector autoregression is adopted to forecast short-term power load. The power load data of New South Wales in Australia from 2001 to 2010 is used for the modeling of the proposed method. The fitting of the forecasted results is satisfied and it shows that using the proposed method the load forecasting accuracy can be improved. The proposed method can provide accurate data information for the drafting of load forecasting curve and is available for the scheduling of power load planning by grid cooperations.

  7. 基于 TVAR 模型的人民币汇率的价格传递效应∗%A Study on the Price Pass-through Effect of RMB Exchange Rate:A Positive Analysis Based Threshold Vector Autoregression Model

    Institute of Scientific and Technical Information of China (English)

    傅强; 孙菲

    2015-01-01

    By means of threshold vector auto-regression model,RMB nominal exchange rate pass-through was studied, and also the exchange rate pass-through under different inflation was analyzed.Inflation rate was treated as the threshold varia-ble,and two monthly rates of 0.1 1 75% and 0.61 18% acted as thresholds.The exchange rate pass-through to domestic prices was statistically significant above the threshold level of the inflation rate 0.61 1 8% and statistically insignificant below it.Con-sidering nonlinearities in the exchange rate pass-through to domestic prices,and thus the correlation between inflation and ex-change rate pass-through was verified more accurately.%利用门限向量自回归模型对人民币有效汇率的价格传递效应进行了研究,分析了不同的通货膨胀环境对人民币汇率传递效应的影响.以通货膨胀率作为门限值变量,并以0.001175和0.006118为门限值进行实证分析.得到汇率传递效应在不同的通货膨胀环境下显著性存在差异,在高通货膨胀下汇率对国内价格的传递效应是显著的,然而在低通货膨胀下是不显著的.考虑了汇率传递对国内价格的非线性性,进而更加准确的验证了通货膨胀与汇率传递的相关性.

  8. Stochastic Modelling of Shiroro River Stream flow Process

    Directory of Open Access Journals (Sweden)

    Musa, J. J

    2013-01-01

    Full Text Available Economists, social scientists and engineers provide insights into the drivers of anthropogenic climate change and the options for adaptation and mitigation, and yet other scientists, including geographers and biologists, study the impacts of climate change. This project concentrates mainly on the discharge from the Shiroro River. A stochastic approach is presented for modeling a time series by an Autoregressive Moving Average model (ARMA. The development and use of a stochastic stream flow model involves some basic steps such as obtain stream flow record and other information, Selecting models that best describes the marginal probability distribution of flows. The flow discharge of about 22 years (1990-2011 was gotten from the Meteorological Station at Shiroro and analyzed with three different models namely; Autoregressive (AR model, Autoregressive Moving Average (ARMA model and Autoregressive Integrated Moving Average (ARIMA model. The initial model identification is done by using the autocorrelation function (ACF and partial autocorrelation function (PACF. Based on the model analysis and evaluations, proper predictions for the effective usage of the flow from the river for farming activities and generation of power for both industrial and domestic us were made. It also highlights some recommendations to be made to utilize the possible potentials of the river effectively

  9. A Set Theoretical Approach to Maturity Models

    DEFF Research Database (Denmark)

    Lasrado, Lester; Vatrapu, Ravi; Andersen, Kim Normann

    2016-01-01

    Maturity Model research in IS has been criticized for the lack of theoretical grounding, methodological rigor, empirical validations, and ignorance of multiple and non-linear paths to maturity. To address these criticisms, this paper proposes a novel set-theoretical approach to maturity models ch...

  10. Modeling diffuse pollution with a distributed approach.

    Science.gov (United States)

    León, L F; Soulis, E D; Kouwen, N; Farquhar, G J

    2002-01-01

    The transferability of parameters for non-point source pollution models to other watersheds, especially those in remote areas without enough data for calibration, is a major problem in diffuse pollution modeling. A water quality component was developed for WATFLOOD (a flood forecast hydrological model) to deal with sediment and nutrient transport. The model uses a distributed group response unit approach for water quantity and quality modeling. Runoff, sediment yield and soluble nutrient concentrations are calculated separately for each land cover class, weighted by area and then routed downstream. The distributed approach for the water quality model for diffuse pollution in agricultural watersheds is described in this paper. Integrating the model with data extracted using GIS technology (Geographical Information Systems) for a local watershed, the model is calibrated for the hydrologic response and validated for the water quality component. With the connection to GIS and the group response unit approach used in this paper, model portability increases substantially, which will improve non-point source modeling at the watershed scale level.

  11. MODULAR APPROACH WITH ROUGH DECISION MODELS

    Directory of Open Access Journals (Sweden)

    Ahmed T. Shawky

    2012-09-01

    Full Text Available Decision models which adopt rough set theory have been used effectively in many real world applications.However, rough decision models suffer the high computational complexity when dealing with datasets ofhuge size. In this research we propose a new rough decision model that allows making decisions based onmodularity mechanism. According to the proposed approach, large-size datasets can be divided intoarbitrary moderate-size datasets, then a group of rough decision models can be built as separate decisionmodules. The overall model decision is computed as the consensus decision of all decision modulesthrough some aggregation technique. This approach provides a flexible and a quick way for extractingdecision rules of large size information tables using rough decision models.

  12. Modular Approach with Rough Decision Models

    Directory of Open Access Journals (Sweden)

    Ahmed T. Shawky

    2012-10-01

    Full Text Available Decision models which adopt rough set theory have been used effectively in many real world applications.However, rough decision models suffer the high computational complexity when dealing with datasets ofhuge size. In this research we propose a new rough decision model that allows making decisions based onmodularity mechanism. According to the proposed approach, large-size datasets can be divided intoarbitrary moderate-size datasets, then a group of rough decision models can be built as separate decisionmodules. The overall model decision is computed as the consensus decision of all decision modulesthrough some aggregation technique. This approach provides a flexible and a quick way for extractingdecision rules of large size information tables using rough decision models.

  13. Autoregressive Integrated Adaptive Neural Networks Classifier for EEG-P300 Classification

    Directory of Open Access Journals (Sweden)

    Demi Soetraprawata

    2013-06-01

    Full Text Available Brain Computer Interface has a potency to be applied in mechatronics apparatus and vehicles in the future. Compared to the other techniques, EEG is the most preferred for BCI designs. In this paper, a new adaptive neural network classifier of different mental activities from EEG-based P300 signals is proposed. To overcome the over-training that is caused by noisy and non-stationary data, the EEG signals are filtered and extracted using autoregressive models before passed to the adaptive neural networks classifier. To test the improvement in the EEG classification performance with the proposed method, comparative experiments were conducted using Bayesian Linear Discriminant Analysis. The experiment results show that the all subjects achieve a classification accuracy of 100%.

  14. Application on Self-Exciting Threshold Auto-Regressive Model to forecast quantity of water irrigational requirement for rice%门限自回归模型在水稻需水量预测中的应用

    Institute of Scientific and Technical Information of China (English)

    张焕昭; 韩军利; 唐依伟; 付强

    2003-01-01

    通过对三江平原井灌水稻各生育阶段需水量的长系列资料分析,建立了自激励门限自回归模型(SETAR MODEL),采用9个参数有效地描述了水稻需水量各个生育期在多种气象及其它影响因子的作用下的周期变化的非线性复杂系统.模型拟合与预测精度较高,可在灌区规划管理与优化水稻灌溉制度中应用.

  15. Stormwater infiltration trenches: a conceptual modelling approach.

    Science.gov (United States)

    Freni, Gabriele; Mannina, Giorgio; Viviani, Gaspare

    2009-01-01

    In recent years, limitations linked to traditional urban drainage schemes have been pointed out and new approaches are developing introducing more natural methods for retaining and/or disposing of stormwater. These mitigation measures are generally called Best Management Practices or Sustainable Urban Drainage System and they include practices such as infiltration and storage tanks in order to reduce the peak flow and retain part of the polluting components. The introduction of such practices in urban drainage systems entails an upgrade of existing modelling frameworks in order to evaluate their efficiency in mitigating the impact of urban drainage systems on receiving water bodies. While storage tank modelling approaches are quite well documented in literature, some gaps are still present about infiltration facilities mainly dependent on the complexity of the involved physical processes. In this study, a simplified conceptual modelling approach for the simulation of the infiltration trenches is presented. The model enables to assess the performance of infiltration trenches. The main goal is to develop a model that can be employed for the assessment of the mitigation efficiency of infiltration trenches in an integrated urban drainage context. Particular care was given to the simulation of infiltration structures considering the performance reduction due to clogging phenomena. The proposed model has been compared with other simplified modelling approaches and with a physically based model adopted as benchmark. The model performed better compared to other approaches considering both unclogged facilities and the effect of clogging. On the basis of a long-term simulation of six years of rain data, the performance and the effectiveness of an infiltration trench measure are assessed. The study confirmed the important role played by the clogging phenomenon on such infiltration structures.

  16. The Forecast of Tax Indicators Based on Vector Auto-regression Model%基于向量自回归模型的税务指标预测

    Institute of Scientific and Technical Information of China (English)

    江莉; 张瑞坤

    2011-01-01

    Asset-liability ratio is an important indicator to examine the financial status of the enterprises, and its prediction is of concern to a lot of enterprises. Four asset-liability ratio of the linear impact of the main factors is selected because many factors have an effect on the asset-liability ratio. According to the asset-liability ratio data of a company for two years, VAR model for the forecast of the next month's asset-liability ratio is chose variabled and established,and achieved good results,the error rate of less than 2%.%资产负债率是检查企业财务状况的一个重要指标,它的预测是很多企业所关心的.由于影响资产负债率的因素很多,选取了4个影响资产负债率的线性主要因素.根据某公司两年的资产负债率数据,选择变量,建立向量自回归模型.对下一月份的资产负债率进行预测,取得了很好的结果,相对误差控制在1.5%以内.

  17. 向量白回归模型Granger因果图的条件互信息辨识与应用%Identification and application about Granger causality graph of vector autoregressive model using conditional mutual information

    Institute of Scientific and Technical Information of China (English)

    魏岳嵩; 田铮; 陈占寿

    2011-01-01

    Grangerl因果性是衡量系统变量间动态关系的重要依据.传统的两变量Grangerl因果分析法容易产生伪因果关系,且不能刻画变量间的即时因果性.本文利用图模型方法研究时间序列变量间的Grangerl因果关系,建立了时间序列Granger因果图,提出Grangerl因果图的条件互信息辨识方法,利用混沌理论中的关联积分估计条件互信息,统计量的显著性由置换检验确定.仿真结果证实了方法的有效性,并利用该方法研究了空气污染指标以及中国股市间的Grangerl因果关系.%The Granger Causality is an important basis for measuring the dynamic relationships among system vari- ables. Traditional two-variable Granger causality analysis method is prone to inducing spurious causal relationship and can not portray the immediate causal relationship. This paper explores how to use graphical models method to analyze the Granger causal relations among components of multivariate time series. Granger causality graph of time series is presented. The structural identification of Granger causality graph is investigated based on the conditional mutual information. The conditional mutual information is estimated using the correlation integral from chaos theory. The significance of the tested statistics is determined with a permutation test. The validity of the proposed method is confirmed by simulations analysis. The Granger causal relationships of the air pollution index and the China's stock market are investigated using the proposed method.

  18. Building Water Models, A Different Approach

    CERN Document Server

    Izadi, Saeed; Onufriev, Alexey V

    2014-01-01

    Simplified, classical models of water are an integral part of atomistic molecular simulations, especially in biology and chemistry where hydration effects are critical. Yet, despite several decades of effort, these models are still far from perfect. Presented here is an alternative approach to constructing point charge water models - currently, the most commonly used type. In contrast to the conventional approach, we do not impose any geometry constraints on the model other than symmetry. Instead, we optimize the distribution of point charges to best describe the "electrostatics" of the water molecule, which is key to many unusual properties of liquid water. The search for the optimal charge distribution is performed in 2D parameter space of key lowest multipole moments of the model, to find best fit to a small set of bulk water properties at room temperature. A virtually exhaustive search is enabled via analytical equations that relate the charge distribution to the multipole moments. The resulting "optimal"...

  19. Perturbation Detection Through Modeling of Gene Expression on a Latent Biological Pathway Network: A Bayesian hierarchical approach.

    Science.gov (United States)

    Pham, Lisa M; Carvalho, Luis; Schaus, Scott; Kolaczyk, Eric D

    Cellular response to a perturbation is the result of a dynamic system of biological variables linked in a complex network. A major challenge in drug and disease studies is identifying the key factors of a biological network that are essential in determining the cell's fate. Here our goal is the identification of perturbed pathways from high-throughput gene expression data. We develop a three-level hierarchical model, where (i) the first level captures the relationship between gene expression and biological pathways using confirmatory factor analysis, (ii) the second level models the behavior within an underlying network of pathways induced by an unknown perturbation using a conditional autoregressive model, and (iii) the third level is a spike-and-slab prior on the perturbations. We then identify perturbations through posterior-based variable selection. We illustrate our approach using gene transcription drug perturbation profiles from the DREAM7 drug sensitivity predication challenge data set. Our proposed method identified regulatory pathways that are known to play a causative role and that were not readily resolved using gene set enrichment analysis or exploratory factor models. Simulation results are presented assessing the performance of this model relative to a network-free variant and its robustness to inaccuracies in biological databases.

  20. Modelling Coagulation Systems: A Stochastic Approach

    CERN Document Server

    Ryazanov, V V

    2011-01-01

    A general stochastic approach to the description of coagulating aerosol system is developed. As the object of description one can consider arbitrary mesoscopic values (number of aerosol clusters, their size etc). The birth-and-death formalism for a number of clusters can be regarded as a partial case of the generalized storage model. An application of the storage model to the number of monomers in a cluster is discussed.

  1. Temporal Aggregation in First Order Cointegrated Vector Autoregressive models

    DEFF Research Database (Denmark)

    Milhøj, Anders; la Cour, Lisbeth Funding

    2011-01-01

    Many time series can be observed at different, but equally relevant sampling frequencies. This makes it important to study aggregation from e.g. daily or weekly to monthly series. Aggregation of course gives shorter time series and thereby reduced information, but spurious phenomena, in e.g. daily...

  2. Some Identification Problems in the Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Johansen, Søren

    An analysis of some identification problems in the cointegrated VAR is given. We give a new criteria for identification by linear restrictions on individual relations which is equivalent to the rank condition. We compare the asymptotic distribution of the estimators of a and ß; when they are iden...

  3. Some identification problems in the cointegrated vector autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren

    An analysis of some identification problems in the cointegrated VAR is given. We give a new criteria for identification by linear restrictions on indi- vidual relations which is equivalent to the rank condition. We compare the asymptotic distribution of the estimators of α and β; when they are id......An analysis of some identification problems in the cointegrated VAR is given. We give a new criteria for identification by linear restrictions on indi- vidual relations which is equivalent to the rank condition. We compare the asymptotic distribution of the estimators of α and β; when...... they are identified by linear restrictions on β and when they are identified by linear restrictions on α; in which case a component of β is asymptotically Gaussian. Finally we discuss identification of shocks by introducing the contemporaneous and permanent e¤ect of a shock and the distinction between permanent...... and transi- tory shocks, which allows one to identify permanent shocks from the long-run variance and transitory shocks from the short-run variance....

  4. Some Identification Problems in the Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Johansen, Søren

    An analysis of some identification problems in the cointegrated VAR is given. We give a new criteria for identification by linear restrictions on individual relations which is equivalent to the rank condition. We compare the asymptotic distribution of the estimators of a and ß; when they are iden......An analysis of some identification problems in the cointegrated VAR is given. We give a new criteria for identification by linear restrictions on individual relations which is equivalent to the rank condition. We compare the asymptotic distribution of the estimators of a and ß; when...... they are identified by linear restrictions on ß; and when they are identified by linear restrictions on a; in which case a component of ß^ is asymptotically Gaussian. Finally we discuss identification of shocks by introducing the contemporaneous and permanent effect of a shock and the distinction between permanent...... and transitory shocks, which allows one to identify permanent shocks from the long-run variance and transitory shocks from the short-run variance...

  5. Maximum Likelihood Estimation of Multivariate Autoregressive-Moving Average Models.

    Science.gov (United States)

    1977-02-01

    maximizing the same have been proposed i) in time domain by Box and Jenkins [41. Astrom [3J, Wilson [23 1, and Phadke [161, and ii) in frequency domain by...moving average residuals and other convariance matrices with linear structure ”, Anna/s of Staustics, 3. 3. Astrom , K. J. (1970), Introduction to

  6. Multilevel Autoregressive Modeling in Psychology: Snags and Solutions

    NARCIS (Netherlands)

    Schuurman, N.K.

    2016-01-01

    Psychological processes are of interest in all areas of psychology, and all such processes occur within individuals over time. Some examples of psychological processes are the regulation of daily mood, the effect of job motivation on job performance and vice versa, or social interactions between a p

  7. A Multiple Model Approach to Modeling Based on LPF Algorithm

    Institute of Scientific and Technical Information of China (English)

    2001-01-01

    Input-output data fitting methods are often used for unknown-structure nonlinear system modeling. Based on model-on-demand tactics, a multiple model approach to modeling for nonlinear systems is presented. The basic idea is to find out, from vast historical system input-output data sets, some data sets matching with the current working point, then to develop a local model using Local Polynomial Fitting (LPF) algorithm. With the change of working points, multiple local models are built, which realize the exact modeling for the global system. By comparing to other methods, the simulation results show good performance for its simple, effective and reliable estimation.``

  8. Post-16 Biology--Some Model Approaches?

    Science.gov (United States)

    Lock, Roger

    1997-01-01

    Outlines alternative approaches to the teaching of difficult concepts in A-level biology which may help student learning by making abstract ideas more concrete and accessible. Examples include models, posters, and poems for illustrating meiosis, mitosis, genetic mutations, and protein synthesis. (DDR)

  9. A Stochastic Approach to Noise Modeling for Barometric Altimeters

    Directory of Open Access Journals (Sweden)

    Angelo Maria Sabatini

    2013-11-01

    Full Text Available The question whether barometric altimeters can be applied to accurately track human motions is still debated, since their measurement performance are rather poor due to either coarse resolution or drifting behavior problems. As a step toward accurate short-time tracking of changes in height (up to few minutes, we develop a stochastic model that attempts to capture some statistical properties of the barometric altimeter noise. The barometric altimeter noise is decomposed in three components with different physical origin and properties: a deterministic time-varying mean, mainly correlated with global environment changes, and a first-order Gauss-Markov (GM random process, mainly accounting for short-term, local environment changes, the effects of which are prominent, respectively, for long-time and short-time motion tracking; an uncorrelated random process, mainly due to wideband electronic noise, including quantization noise. Autoregressive-moving average (ARMA system identification techniques are used to capture the correlation structure of the piecewise stationary GM component, and to estimate its standard deviation, together with the standard deviation of the uncorrelated component. M-point moving average filters used alone or in combination with whitening filters learnt from ARMA model parameters are further tested in few dynamic motion experiments and discussed for their capability of short-time tracking small-amplitude, low-frequency motions.

  10. A stochastic approach to noise modeling for barometric altimeters.

    Science.gov (United States)

    Sabatini, Angelo Maria; Genovese, Vincenzo

    2013-11-18

    The question whether barometric altimeters can be applied to accurately track human motions is still debated, since their measurement performance are rather poor due to either coarse resolution or drifting behavior problems. As a step toward accurate short-time tracking of changes in height (up to few minutes), we develop a stochastic model that attempts to capture some statistical properties of the barometric altimeter noise. The barometric altimeter noise is decomposed in three components with different physical origin and properties: a deterministic time-varying mean, mainly correlated with global environment changes, and a first-order Gauss-Markov (GM) random process, mainly accounting for short-term, local environment changes, the effects of which are prominent, respectively, for long-time and short-time motion tracking; an uncorrelated random process, mainly due to wideband electronic noise, including quantization noise. Autoregressive-moving average (ARMA) system identification techniques are used to capture the correlation structure of the piecewise stationary GM component, and to estimate its standard deviation, together with the standard deviation of the uncorrelated component. M-point moving average filters used alone or in combination with whitening filters learnt from ARMA model parameters are further tested in few dynamic motion experiments and discussed for their capability of short-time tracking small-amplitude, low-frequency motions.

  11. Decomposition approach to model smart suspension struts

    Science.gov (United States)

    Song, Xubin

    2008-10-01

    Model and simulation study is the starting point for engineering design and development, especially for developing vehicle control systems. This paper presents a methodology to build models for application of smart struts for vehicle suspension control development. The modeling approach is based on decomposition of the testing data. Per the strut functions, the data is dissected according to both control and physical variables. Then the data sets are characterized to represent different aspects of the strut working behaviors. Next different mathematical equations can be built and optimized to best fit the corresponding data sets, respectively. In this way, the model optimization can be facilitated in comparison to a traditional approach to find out a global optimum set of model parameters for a complicated nonlinear model from a series of testing data. Finally, two struts are introduced as examples for this modeling study: magneto-rheological (MR) dampers and compressible fluid (CF) based struts. The model validation shows that this methodology can truly capture macro-behaviors of these struts.

  12. 自回归滑动平均混合模型在医院感染发病率预测中的应用研究%Application of autoregressive integrated moving average model in forecasting incidence of nosocomial infections

    Institute of Scientific and Technical Information of China (English)

    李红; 梁沛枫; 潘东峰; 郭忠琴; 王岚

    2013-01-01

    OBJECTIVE To investigate the application value of the autoregressive integrated moving average (ARIMA) model so as to provide supplementary information for the establishment of the hospital infection surveillance and early warning mode.METHODS The ARIMA model was established according to the incidence of nosocomial infections in a hospital of Ningxia from Jan 2005 to Dec 2010,the feasibility of the predictive model was evaluated by the sample backing and viewing the incidence data from Jan to Oct 2011 as an evaluation sample of the model,the similarity between the model predictions and actual values was tested,and the predictive accuracy of the ARIMA model was evaluated.RESULTS The AIC and SBC values of the seasonal ARIMA(0,1,1) ×(0,1,1) 12 were 1.9047 and 1.9752,respectively,being as the optimal model,the model expression was 12 Lnyt =(1+0.6841 L) (1 +0.8003 L12),in the fitting of sample,the relative error of the absolute value of the average MAPE was 23.48%,R2 =0.5423,the sample forecast MAPE was 12.55%,R2 =0.6213.CONCLUSION ARIMA model can achieve satisfactory effect on predicting the incidence of the nosocomial infections,which can provide basis for the prevention of nosocomial infections.%目的 探讨自回归滑动平均混合(ARIMA)模型的应用价值,为医院感染的监控和预警模式建立提供辅助信息.方法 以2005年1月-2010年12月宁夏某医院的医院感染发病率建立ARIMA模型,进行样本内回代评价预测模型的可行性,以2011年1-10月的发病率资料作为模型预测评价样本,检测模型预测值和实际值的拟合程度,以相对误差绝对值平均(MAPE)值评价ARIMA模型的预测准确性.结果 ARIMA季节乘积模型(0、1、1)×(0、1、1)12的AIC、SBC值分别为1.9047、1.9752,为最优模型,模型表达式为12 Lnyt=(1+0.6841L)、(1 +0.8003 L12),其样本内拟合MAPE值为23.48%,R2=0.5423,模型具有外推价值,样本外预测MAPE值为12.55%,R2 =0.6213,模

  13. Heat transfer modeling an inductive approach

    CERN Document Server

    Sidebotham, George

    2015-01-01

    This innovative text emphasizes a "less-is-more" approach to modeling complicated systems such as heat transfer by treating them first as "1-node lumped models" that yield simple closed-form solutions. The author develops numerical techniques for students to obtain more detail, but also trains them to use the techniques only when simpler approaches fail. Covering all essential methods offered in traditional texts, but with a different order, Professor Sidebotham stresses inductive thinking and problem solving as well as a constructive understanding of modern, computer-based practice. Readers learn to develop their own code in the context of the material, rather than just how to use packaged software, offering a deeper, intrinsic grasp behind models of heat transfer. Developed from over twenty-five years of lecture notes to teach students of mechanical and chemical engineering at The Cooper Union for the Advancement of Science and Art, the book is ideal for students and practitioners across engineering discipl...

  14. A Bayesian Shrinkage Approach for AMMI Models.

    Science.gov (United States)

    da Silva, Carlos Pereira; de Oliveira, Luciano Antonio; Nuvunga, Joel Jorge; Pamplona, Andrezza Kéllen Alves; Balestre, Marcio

    2015-01-01

    Linear-bilinear models, especially the additive main effects and multiplicative interaction (AMMI) model, are widely applicable to genotype-by-environment interaction (GEI) studies in plant breeding programs. These models allow a parsimonious modeling of GE interactions, retaining a small number of principal components in the analysis. However, one aspect of the AMMI model that is still debated is the selection criteria for determining the number of multiplicative terms required to describe the GE interaction pattern. Shrinkage estimators have been proposed as selection criteria for the GE interaction components. In this study, a Bayesian approach was combined with the AMMI model with shrinkage estimators for the principal components. A total of 55 maize genotypes were evaluated in nine different environments using a complete blocks design with three replicates. The results show that the traditional Bayesian AMMI model produces low shrinkage of singular values but avoids the usual pitfalls in determining the credible intervals in the biplot. On the other hand, Bayesian shrinkage AMMI models have difficulty with the credible interval for model parameters, but produce stronger shrinkage of the principal components, converging to GE matrices that have more shrinkage than those obtained using mixed models. This characteristic allowed more parsimonious models to be chosen, and resulted in models being selected that were similar to those obtained by the Cornelius F-test (α = 0.05) in traditional AMMI models and cross validation based on leave-one-out. This characteristic allowed more parsimonious models to be chosen and more GEI pattern retained on the first two components. The resulting model chosen by posterior distribution of singular value was also similar to those produced by the cross-validation approach in traditional AMMI models. Our method enables the estimation of credible interval for AMMI biplot plus the choice of AMMI model based on direct posterior

  15. A Bayesian Shrinkage Approach for AMMI Models.

    Directory of Open Access Journals (Sweden)

    Carlos Pereira da Silva

    Full Text Available Linear-bilinear models, especially the additive main effects and multiplicative interaction (AMMI model, are widely applicable to genotype-by-environment interaction (GEI studies in plant breeding programs. These models allow a parsimonious modeling of GE interactions, retaining a small number of principal components in the analysis. However, one aspect of the AMMI model that is still debated is the selection criteria for determining the number of multiplicative terms required to describe the GE interaction pattern. Shrinkage estimators have been proposed as selection criteria for the GE interaction components. In this study, a Bayesian approach was combined with the AMMI model with shrinkage estimators for the principal components. A total of 55 maize genotypes were evaluated in nine different environments using a complete blocks design with three replicates. The results show that the traditional Bayesian AMMI model produces low shrinkage of singular values but avoids the usual pitfalls in determining the credible intervals in the biplot. On the other hand, Bayesian shrinkage AMMI models have difficulty with the credible interval for model parameters, but produce stronger shrinkage of the principal components, converging to GE matrices that have more shrinkage than those obtained using mixed models. This characteristic allowed more parsimonious models to be chosen, and resulted in models being selected that were similar to those obtained by the Cornelius F-test (α = 0.05 in traditional AMMI models and cross validation based on leave-one-out. This characteristic allowed more parsimonious models to be chosen and more GEI pattern retained on the first two components. The resulting model chosen by posterior distribution of singular value was also similar to those produced by the cross-validation approach in traditional AMMI models. Our method enables the estimation of credible interval for AMMI biplot plus the choice of AMMI model based on direct

  16. An integrated SPC-EPC study for checking assignable causes resulting in sustained shift based on threshold autoregressive model%针对阶跃形式失控的基于门限自回归模型的SPC-EPC集成研究

    Institute of Scientific and Technical Information of China (English)

    张晓蕾; 何桢; 聂斌

    2012-01-01

    SPC-EPC integration is an effective method to control the quality of products. Traditional integrated SPC-EPC methods are based on linear ARIMA time series model to describe the dynamic noise of the system. But linear models sometimes are unable to model complex nonlinear relationships. To solve this problem, a method using a kind of nonlinear time series model was presented, that is the threshold autoregressive model (TAR), to describe the dynamic noise of the system, and an MMSE controller based on this model was built and an integrated SPC-EPC control system was further built. Aiming at control failure in the form of step form that is common during the production process, the control result of this controller and integrated control method was analyzed first by examples and also compared with the result of linear controller. Next the result of this integrated method was verified and analyzed further by simulations. The final results indicate that this integrated SPC-EPC method based on nonlinear time series model is effective in controlling complex nonlinear systems which have assignable causes resulting in sustained shift.%SPC-EPC集成是一种控制和提升产品质量的有效方法,目前在传统SPC-EPC集成的研究中通常使用线性时间序列模型来描述过程的动态自相关关系,但线性模型难以对更加复杂的非线性自相关关系进行有效描述.针对这一问题,提出了使用一类非线性时间序列模型,即门限自回归模型(TAR)来描述系统的动态自相关关系,并依此建立最小均方误差控制器,并进一步建立SPC-EPC集成控制体系.针对在生产过程中常见的以阶跃形式存在的过程失控,首先通过例子研究了控制器在单独使用以及集成控制方法下的控制效果并且与线性控制器相应的结果进行了对比,之后通过模拟研究进一步验证和分析了这一集成控制方法的控制效果.结果表明,基于非线性时间序列的集成SPC-EPC

  17. A multilevel nonlinear mixed-effects approach to model growth in pigs

    DEFF Research Database (Denmark)

    Strathe, Anders Bjerring; Danfær, Allan Christian; Sørensen, H.

    2010-01-01

    Growth functions have been used to predict market weight of pigs and maximize return over feed costs. This study was undertaken to compare 4 growth functions and methods of analyzing data, particularly one that considers nonlinear repeated measures. Data were collected from an experiment with 40...... pigs maintained from birth to maturity and their BW measured weekly or every 2 wk up to 1,007 d. Gompertz, logistic, Bridges, and Lopez functions were fitted to the data and compared using information criteria. For each function, a multilevel nonlinear mixed effects model was employed because....... Furthermore, studies should consider adding continuous autoregressive process when analyzing nonlinear mixed models with repeated measures....

  18. 季节性差分自回归滑动平均模型在上海市道路交通伤害预测中的应用%Application of Seasonal Autoregressive Integrated Moving Average Model to Road Traffic Injury Prediction in Shanghai

    Institute of Scientific and Technical Information of China (English)

    喻彦; 侯心一; 苏慧佳; 任宏

    2012-01-01

    [ Objective ] To explore the feasibility of seasonal autoregressive integrated moving average (SARIMA) model in predicting road traffic injury, and to provide reference for road traffic injury trends in Shanghai. [ Methods ] A SARIMA model was presented to fit the seasonal road traffic mortality data of Shanghai (2000-2009) via EVIEWS software, and estimated mortalities of 2010 were verified with the actual data. [ Results ] The seasonal component was statistically significant in Shanghai's road traffic mortality data. A decreasing trend was observed in the trend component of the model. SARIMA (2, 1, 0) (0, 1, 1)4 was the best fitting model among various candidate models. The predicted seasonal mortalities of 2010 were 1.49/105, 1.74/105, 1.93/105, and 2.06/105 respectively. The actual values were all in the prediction intervals, and the residuals were considered as white noise serial. The verification with actual data passed our test. [ Conclusion ] A SARIMA model can be used in accurate trends prediction of road traffic injury and therefore can provide evidences for road traffic injury intervention.%[目的]探讨季节性差分自回归滑动平均( SARIMA)模型预测道路交通伤害的可行性,为掌握上海市交通伤害趋势提供依据.[方法]利用EVIEWS软件对2000-2009年上海市道路交通伤害死亡的季度数据进行SARIMA模型拟合,并利用2010年数据对预测数据进行验证.[结果]上海市道路交通死亡具有明显的季节要素,趋势要素呈逐步下降趋势;对原始图形识别后,综合考察几种模型拟合优劣,最终采用SARIMA(2,1,0)(0,1,1)4,其能很好地拟合上海市道路交通伤害死亡情况.2010年4个季度死亡率预测值分别为1.49/105、1.74/105、1.93/105和2.06/105,实际值均在预测区间内,残差也显示为白噪声序列.预测结果较好.[结论]SARIMA模型是一种能较好地预测道路交通伤害趋势的工具,可为预防与控制道路交通伤害提供决策依据.

  19. Scientific Theories, Models and the Semantic Approach

    Directory of Open Access Journals (Sweden)

    Décio Krause

    2007-12-01

    Full Text Available According to the semantic view, a theory is characterized by a class of models. In this paper, we examine critically some of the assumptions that underlie this approach. First, we recall that models are models of something. Thus we cannot leave completely aside the axiomatization of the theories under consideration, nor can we ignore the metamathematics used to elaborate these models, for changes in the metamathematics often impose restrictions on the resulting models. Second, based on a parallel between van Fraassen’s modal interpretation of quantum mechanics and Skolem’s relativism regarding set-theoretic concepts, we introduce a distinction between relative and absolute concepts in the context of the models of a scientific theory. And we discuss the significance of that distinction. Finally, by focusing on contemporary particle physics, we raise the question: since there is no general accepted unification of the parts of the standard model (namely, QED and QCD, we have no theory, in the usual sense of the term. This poses a difficulty: if there is no theory, how can we speak of its models? What are the latter models of? We conclude by noting that it is unclear that the semantic view can be applied to contemporary physical theories.

  20. Multiscale Model Approach for Magnetization Dynamics Simulations

    CERN Document Server

    De Lucia, Andrea; Tretiakov, Oleg A; Kläui, Mathias

    2016-01-01

    Simulations of magnetization dynamics in a multiscale environment enable rapid evaluation of the Landau-Lifshitz-Gilbert equation in a mesoscopic sample with nanoscopic accuracy in areas where such accuracy is required. We have developed a multiscale magnetization dynamics simulation approach that can be applied to large systems with spin structures that vary locally on small length scales. To implement this, the conventional micromagnetic simulation framework has been expanded to include a multiscale solving routine. The software selectively simulates different regions of a ferromagnetic sample according to the spin structures located within in order to employ a suitable discretization and use either a micromagnetic or an atomistic model. To demonstrate the validity of the multiscale approach, we simulate the spin wave transmission across the regions simulated with the two different models and different discretizations. We find that the interface between the regions is fully transparent for spin waves with f...

  1. Bayesian analysis of autoregressive panel data model: application in genetic evaluation of beef cattle Análise Bayesiana do modelo auto-regressivo para dados em painel: aplicação na avaliação genética de bovinos de corte

    Directory of Open Access Journals (Sweden)

    Fabyano Fonseca e Silva

    2011-04-01

    Full Text Available The animal breeding values forecasting at futures times is a relevant technological innovation in the field of Animal Science, since its enables a previous indication of animals that will be either kept by the producer for breeding purposes or discarded. This study discusses an MCMC Bayesian methodology applied to panel data in a time series context. We consider Bayesian analysis of an autoregressive, AR(p, panel data model of order p, using an exact likelihood function, comparative analysis of prior distributions and predictive distributions of future observations. The methodology was tested by a simulation study using three priors: hierarchical Multivariate Normal-Inverse Gamma (model 1, independent Multivariate Student's t Inverse Gamma (model 2 and Jeffrey's (model 3. Comparisons by Pseudo-Bayes Factor favored model 2. The proposed methodology was applied to longitudinal data relative to Expected Progeny Difference (EPD of beef cattle sires. The forecast efficiency was around 80%. Regarding the mean width of the EPD interval estimation (95% in a future time, a great advantage was observed for the proposed Bayesian methodology over usual asymptotic frequentist method.A previsão dos valores genéticos de animais em tempos futuros constitui importante inovação tecnológica para a área de Zootecnia, uma vez que possibilita planejar com antecedência o descarte ou a manutenção de animais no rebanho. No presente estudo considerou-se uma análise Bayesiana de modelos auto-regressivos de ordem p, AR(p, para dados em painel, de forma a utilizar a função de verossimilhança exata, a análise de comparação de distribuições a priori e a obtenção de distribuições preditivas de dados futuros. A metodologia utilizada foi testada mediante um estudo de simulação usando a priori hierárquica Normal multivariada-Gama inversa (modelo 1, a priori independente t-Student Gama inversa (modelo 2 e a priori de Jeffreys (modelo 3. As compara

  2. Continuum modeling an approach through practical examples

    CERN Document Server

    Muntean, Adrian

    2015-01-01

    This book develops continuum modeling skills and approaches the topic from three sides: (1) derivation of global integral laws together with the associated local differential equations, (2) design of constitutive laws and (3) modeling boundary processes. The focus of this presentation lies on many practical examples covering aspects such as coupled flow, diffusion and reaction in porous media or microwave heating of a pizza, as well as traffic issues in bacterial colonies and energy harvesting from geothermal wells. The target audience comprises primarily graduate students in pure and applied mathematics as well as working practitioners in engineering who are faced by nonstandard rheological topics like those typically arising in the food industry.

  3. Interfacial Fluid Mechanics A Mathematical Modeling Approach

    CERN Document Server

    Ajaev, Vladimir S

    2012-01-01

    Interfacial Fluid Mechanics: A Mathematical Modeling Approach provides an introduction to mathematical models of viscous flow used in rapidly developing fields of microfluidics and microscale heat transfer. The basic physical effects are first introduced in the context of simple configurations and their relative importance in typical microscale applications is discussed. Then,several configurations of importance to microfluidics, most notably thin films/droplets on substrates and confined bubbles, are discussed in detail.  Topics from current research on electrokinetic phenomena, liquid flow near structured solid surfaces, evaporation/condensation, and surfactant phenomena are discussed in the later chapters. This book also:  Discusses mathematical models in the context of actual applications such as electrowetting Includes unique material on fluid flow near structured surfaces and phase change phenomena Shows readers how to solve modeling problems related to microscale multiphase flows Interfacial Fluid Me...

  4. Evolutionary modeling-based approach for model errors correction

    Science.gov (United States)

    Wan, S. Q.; He, W. P.; Wang, L.; Jiang, W.; Zhang, W.

    2012-08-01

    The inverse problem of using the information of historical data to estimate model errors is one of the science frontier research topics. In this study, we investigate such a problem using the classic Lorenz (1963) equation as a prediction model and the Lorenz equation with a periodic evolutionary function as an accurate representation of reality to generate "observational data." On the basis of the intelligent features of evolutionary modeling (EM), including self-organization, self-adaptive and self-learning, the dynamic information contained in the historical data can be identified and extracted by computer automatically. Thereby, a new approach is proposed to estimate model errors based on EM in the present paper. Numerical tests demonstrate the ability of the new approach to correct model structural errors. In fact, it can actualize the combination of the statistics and dynamics to certain extent.

  5. Regularization of turbulence - a comprehensive modeling approach

    Science.gov (United States)

    Geurts, B. J.

    2011-12-01

    Turbulence readily arises in numerous flows in nature and technology. The large number of degrees of freedom of turbulence poses serious challenges to numerical approaches aimed at simulating and controlling such flows. While the Navier-Stokes equations are commonly accepted to precisely describe fluid turbulence, alternative coarsened descriptions need to be developed to cope with the wide range of length and time scales. These coarsened descriptions are known as large-eddy simulations in which one aims to capture only the primary features of a flow, at considerably reduced computational effort. Such coarsening introduces a closure problem that requires additional phenomenological modeling. A systematic approach to the closure problem, know as regularization modeling, will be reviewed. Its application to multiphase turbulent will be illustrated in which a basic regularization principle is enforced to physically consistently approximate momentum and scalar transport. Examples of Leray and LANS-alpha regularization are discussed in some detail, as are compatible numerical strategies. We illustrate regularization modeling to turbulence under the influence of rotation and buoyancy and investigate the accuracy with which particle-laden flow can be represented. A discussion of the numerical and modeling errors incurred will be given on the basis of homogeneous isotropic turbulence.

  6. MERGING DIGITAL SURFACE MODELS IMPLEMENTING BAYESIAN APPROACHES

    Directory of Open Access Journals (Sweden)

    H. Sadeq

    2016-06-01

    Full Text Available In this research different DSMs from different sources have been merged. The merging is based on a probabilistic model using a Bayesian Approach. The implemented data have been sourced from very high resolution satellite imagery sensors (e.g. WorldView-1 and Pleiades. It is deemed preferable to use a Bayesian Approach when the data obtained from the sensors are limited and it is difficult to obtain many measurements or it would be very costly, thus the problem of the lack of data can be solved by introducing a priori estimations of data. To infer the prior data, it is assumed that the roofs of the buildings are specified as smooth, and for that purpose local entropy has been implemented. In addition to the a priori estimations, GNSS RTK measurements have been collected in the field which are used as check points to assess the quality of the DSMs and to validate the merging result. The model has been applied in the West-End of Glasgow containing different kinds of buildings, such as flat roofed and hipped roofed buildings. Both quantitative and qualitative methods have been employed to validate the merged DSM. The validation results have shown that the model was successfully able to improve the quality of the DSMs and improving some characteristics such as the roof surfaces, which consequently led to better representations. In addition to that, the developed model has been compared with the well established Maximum Likelihood model and showed similar quantitative statistical results and better qualitative results. Although the proposed model has been applied on DSMs that were derived from satellite imagery, it can be applied to any other sourced DSMs.

  7. Merging Digital Surface Models Implementing Bayesian Approaches

    Science.gov (United States)

    Sadeq, H.; Drummond, J.; Li, Z.

    2016-06-01

    In this research different DSMs from different sources have been merged. The merging is based on a probabilistic model using a Bayesian Approach. The implemented data have been sourced from very high resolution satellite imagery sensors (e.g. WorldView-1 and Pleiades). It is deemed preferable to use a Bayesian Approach when the data obtained from the sensors are limited and it is difficult to obtain many measurements or it would be very costly, thus the problem of the lack of data can be solved by introducing a priori estimations of data. To infer the prior data, it is assumed that the roofs of the buildings are specified as smooth, and for that purpose local entropy has been implemented. In addition to the a priori estimations, GNSS RTK measurements have been collected in the field which are used as check points to assess the quality of the DSMs and to validate the merging result. The model has been applied in the West-End of Glasgow containing different kinds of buildings, such as flat roofed and hipped roofed buildings. Both quantitative and qualitative methods have been employed to validate the merged DSM. The validation results have shown that the model was successfully able to improve the quality of the DSMs and improving some characteristics such as the roof surfaces, which consequently led to better representations. In addition to that, the developed model has been compared with the well established Maximum Likelihood model and showed similar quantitative statistical results and better qualitative results. Although the proposed model has been applied on DSMs that were derived from satellite imagery, it can be applied to any other sourced DSMs.

  8. A new approach for Bayesian model averaging

    Institute of Scientific and Technical Information of China (English)

    TIAN XiangJun; XIE ZhengHui; WANG AiHui; YANG XiaoChun

    2012-01-01

    Bayesian model averaging (BMA) is a recently proposed statistical method for calibrating forecast ensembles from numerical weather models.However,successful implementation of BMA requires accurate estimates of the weights and variances of the individual competing models in the ensemble.Two methods,namely the Expectation-Maximization (EM) and the Markov Chain Monte Carlo (MCMC) algorithms,are widely used for BMA model training.Both methods have their own respective strengths and weaknesses.In this paper,we first modify the BMA log-likelihood function with the aim of removing the additional limitation that requires that the BMA weights add to one,and then use a limited memory quasi-Newtonian algorithm for solving the nonlinear optimization problem,thereby formulating a new approach for BMA (referred to as BMA-BFGS).Several groups of multi-model soil moisture simulation experiments from three land surface models show that the performance of BMA-BFGS is similar to the MCMC method in terms of simulation accuracy,and that both are superior to the EM algorithm.On the other hand,the computational cost of the BMA-BFGS algorithm is substantially less than for MCMC and is almost equivalent to that for EM.

  9. Remembrance of phases past: An autoregressive method for generating realistic atmospheres in simulations

    Science.gov (United States)

    Srinath, Srikar; Poyneer, Lisa A.; Rudy, Alexander R.; Ammons, S. M.

    2014-08-01

    The advent of expensive, large-aperture telescopes and complex adaptive optics (AO) systems has strengthened the need for detailed simulation of such systems from the top of the atmosphere to control algorithms. The credibility of any simulation is underpinned by the quality of the atmosphere model used for introducing phase variations into the incident photons. Hitherto, simulations which incorporate wind layers have relied upon phase screen generation methods that tax the computation and memory capacities of the platforms on which they run. This places limits on parameters of a simulation, such as exposure time or resolution, thus compromising its utility. As aperture sizes and fields of view increase the problem will only get worse. We present an autoregressive method for evolving atmospheric phase that is efficient in its use of computation resources and allows for variability in the power contained in frozen flow or stochastic components of the atmosphere. Users have the flexibility of generating atmosphere datacubes in advance of runs where memory constraints allow to save on computation time or of computing the phase at each time step for long exposure times. Preliminary tests of model atmospheres generated using this method show power spectral density and rms phase in accordance with established metrics for Kolmogorov models.

  10. Sensor network based solar forecasting using a local vector autoregressive ridge framework

    Energy Technology Data Exchange (ETDEWEB)

    Xu, J. [Stony Brook Univ., NY (United States); Yoo, S. [Brookhaven National Lab. (BNL), Upton, NY (United States); Heiser, J. [Brookhaven National Lab. (BNL), Upton, NY (United States); Kalb, P. [Brookhaven National Lab. (BNL), Upton, NY (United States)

    2016-04-04

    The significant improvements and falling costs of photovoltaic (PV) technology make solar energy a promising resource, yet the cloud induced variability of surface solar irradiance inhibits its effective use in grid-tied PV generation. Short-term irradiance forecasting, especially on the minute scale, is critically important for grid system stability and auxiliary power source management. Compared to the trending sky imaging devices, irradiance sensors are inexpensive and easy to deploy but related forecasting methods have not been well researched. The prominent challenge of applying classic time series models on a network of irradiance sensors is to address their varying spatio-temporal correlations due to local changes in cloud conditions. We propose a local vector autoregressive framework with ridge regularization to forecast irradiance without explicitly determining the wind field or cloud movement. By using local training data, our learned forecast model is adaptive to local cloud conditions and by using regularization, we overcome the risk of overfitting from the limited training data. Our systematic experimental results showed an average of 19.7% RMSE and 20.2% MAE improvement over the benchmark Persistent Model for 1-5 minute forecasts on a comprehensive 25-day dataset.

  11. A Real Valued Neural Network Based Autoregressive Energy Detector for Cognitive Radio Application.

    Science.gov (United States)

    Onumanyi, A J; Onwuka, E N; Aibinu, A M; Ugweje, O C; Salami, M J E

    2014-01-01

    A real valued neural network (RVNN) based energy detector (ED) is proposed and analyzed for cognitive radio (CR) application. This was developed using a known two-layered RVNN model to estimate the model coefficients of an autoregressive (AR) system. By using appropriate modules and a well-designed detector, the power spectral density (PSD) of the AR system transfer function was estimated and subsequent receiver operating characteristic (ROC) curves of the detector generated and analyzed. A high detection performance with low false alarm rate was observed for varying signal to noise ratio (SNR), sample number, and model order conditions. The proposed RVNN based ED was then compared to the simple periodogram (SP), Welch periodogram (WP), multitaper (MT), Yule-Walker (YW), Burg (BG), and covariance (CV) based ED techniques. The proposed detector showed better performance than the SP, WP, and MT while providing better false alarm performance than the YW, BG, and CV. Data provided here support the effectiveness of the proposed RVNN based ED for CR application.

  12. Dissecting Two Approaches to Energy Prices

    Directory of Open Access Journals (Sweden)

    Julius N. Esunge

    2011-01-01

    Full Text Available Problem statement: This research tested the viability of Geometric Brownian Motion as a stochastic model of oil prices. Approach: Using autoregressions and unit root tests, we determined that oil prices tend not to exhibit the Markov Property and thus GBM may be a problematic model. Results: Instead, oil prices seem to be mean reverting over the long run, possibly following an Ornstein-Uhlenbeck process. Conclusion/Recommendations: To determine whether or not OPEC was the cause of mean reversion, we repeated the tests after controlling for quotas, only to find the same results did not apply over the short run.

  13. Modeling in transport phenomena a conceptual approach

    CERN Document Server

    Tosun, Ismail

    2007-01-01

    Modeling in Transport Phenomena, Second Edition presents and clearly explains with example problems the basic concepts and their applications to fluid flow, heat transfer, mass transfer, chemical reaction engineering and thermodynamics. A balanced approach is presented between analysis and synthesis, students will understand how to use the solution in engineering analysis. Systematic derivations of the equations and the physical significance of each term are given in detail, for students to easily understand and follow up the material. There is a strong incentive in science and engineering to

  14. Ensemble Nonlinear Autoregressive Exogenous Artificial Neural Networks for Short-Term Wind Speed and Power Forecasting.

    Science.gov (United States)

    Men, Zhongxian; Yee, Eugene; Lien, Fue-Sang; Yang, Zhiling; Liu, Yongqian

    2014-01-01

    Short-term wind speed and wind power forecasts (for a 72 h period) are obtained using a nonlinear autoregressive exogenous artificial neural network (ANN) methodology which incorporates either numerical weather prediction or high-resolution computational fluid dynamics wind field information as an exogenous input. An ensemble approach is used to combine the predictions from many candidate ANNs in order to provide improved forecasts for wind speed and power, along with the associated uncertainties in these forecasts. More specifically, the ensemble ANN is used to quantify the uncertainties arising from the network weight initialization and from the unknown structure of the ANN. All members forming the ensemble of neural networks were trained using an efficient particle swarm optimization algorithm. The results of the proposed methodology are validated using wind speed and wind power data obtained from an operational wind farm located in Northern China. The assessment demonstrates that this methodology for wind speed and power forecasting generally provides an improvement in predictive skills when compared to the practice of using an "optimal" weight vector from a single ANN while providing additional information in the form of prediction uncertainty bounds.

  15. Nuclear level density: Shell-model approach

    Science.gov (United States)

    Sen'kov, Roman; Zelevinsky, Vladimir

    2016-06-01

    Knowledge of the nuclear level density is necessary for understanding various reactions, including those in the stellar environment. Usually the combinatorics of a Fermi gas plus pairing is used for finding the level density. Recently a practical algorithm avoiding diagonalization of huge matrices was developed for calculating the density of many-body nuclear energy levels with certain quantum numbers for a full shell-model Hamiltonian. The underlying physics is that of quantum chaos and intrinsic thermalization in a closed system of interacting particles. We briefly explain this algorithm and, when possible, demonstrate the agreement of the results with those derived from exact diagonalization. The resulting level density is much smoother than that coming from conventional mean-field combinatorics. We study the role of various components of residual interactions in the process of thermalization, stressing the influence of incoherent collision-like processes. The shell-model results for the traditionally used parameters are also compared with standard phenomenological approaches.

  16. Pedagogic process modeling: Humanistic-integrative approach

    Directory of Open Access Journals (Sweden)

    Boritko Nikolaj M.

    2007-01-01

    Full Text Available The paper deals with some current problems of modeling the dynamics of the subject-features development of the individual. The term "process" is considered in the context of the humanistic-integrative approach, in which the principles of self education are regarded as criteria for efficient pedagogic activity. Four basic characteristics of the pedagogic process are pointed out: intentionality reflects logicality and regularity of the development of the process; discreteness (stageability in dicates qualitative stages through which the pedagogic phenomenon passes; nonlinearity explains the crisis character of pedagogic processes and reveals inner factors of self-development; situationality requires a selection of pedagogic conditions in accordance with the inner factors, which would enable steering the pedagogic process. Offered are two steps for singling out a particular stage and the algorithm for developing an integrative model for it. The suggested conclusions might be of use for further theoretic research, analyses of educational practices and for realistic predicting of pedagogical phenomena. .

  17. Modeling Social Annotation: a Bayesian Approach

    CERN Document Server

    Plangprasopchok, Anon

    2008-01-01

    Collaborative tagging systems, such as del.icio.us, CiteULike, and others, allow users to annotate objects, e.g., Web pages or scientific papers, with descriptive labels called tags. The social annotations, contributed by thousands of users, can potentially be used to infer categorical knowledge, classify documents or recommend new relevant information. Traditional text inference methods do not make best use of socially-generated data, since they do not take into account variations in individual users' perspectives and vocabulary. In a previous work, we introduced a simple probabilistic model that takes interests of individual annotators into account in order to find hidden topics of annotated objects. Unfortunately, our proposed approach had a number of shortcomings, including overfitting, local maxima and the requirement to specify values for some parameters. In this paper we address these shortcomings in two ways. First, we extend the model to a fully Bayesian framework. Second, we describe an infinite ver...

  18. Generation of spatiotemporally correlated spike trains and local field potentials using a multivariate autoregressive process.

    Science.gov (United States)

    Gutnisky, Diego A; Josić, Kresimir

    2010-05-01

    Experimental advances allowing for the simultaneous recording of activity at multiple sites have significantly increased our understanding of the spatiotemporal patterns in neural activity. The impact of such patterns on neural coding is a fundamental question in neuroscience. The simulation of spike trains with predetermined activity patterns is therefore an important ingredient in the study of potential neural codes. Such artificially generated spike trains could also be used to manipulate cortical neurons in vitro and in vivo. Here, we propose a method to generate spike trains with given mean firing rates and cross-correlations. To capture this statistical structure we generate a point process by thresholding a stochastic process that is continuous in space and discrete in time. This stochastic process is obtained by filtering Gaussian noise through a multivariate autoregressive (AR) model. The parameters of the AR model are obtained by a nonlinear transformation of the point-process correlations to the continuous-process correlations. The proposed method is very efficient and allows for the simulation of large neural populations. It can be optimized to the structure of spatiotemporal correlations and generalized to nonstationary processes and spatiotemporal patterns of local field potentials and spike trains.

  19. Nonlinear stochastic modeling of river dissolved-oxygen

    Energy Technology Data Exchange (ETDEWEB)

    Tabios, G.Q. III.

    1984-01-01

    An important aspect of water quality modeling is forecasting water quality variables for real-time management and control applications to enhance, maintain and sustain desirable water qualities. The major objective of this research is to develop daily time series models for forecasting river dissolved-oxygen (DO). The modeling approach adopted herein combines deterministic and stochastic concepts for determining properties of the DO process based on time series data and dynamic mechanisms governing the said process. This is accomplished by deriving a general DO stochastic model structure based on a modified Streeter-Phelps DO-BOD dynamic model. Then some types of nonlinear models namely, self-exciting threshold autoregressive-moving average (SETARMA), amplitude-dependent autoregressive (ADAR) and bilinear (BL) models, and the class of linear autoregressive-moving average (ARMA) models are adopted for model identification and parameter estimation. Six stream-water quality gaging stations located in the eastern portion of the continental U.S.A. are utilized in this study. Various orders of ARMA, SETARMA, ADAR and BL models are fitted to the data. Results obtained indicated that ADAR and BL models are superior for one-step ahead forecasts, while SETARMA models are better for forecasts of longer lead times. In general, the SETARMA, ADAR and BL models show promise as alternative models for river DO time series modeling and forecasting with unique advantages in each.

  20. A semiparametric approach to physiological flow models.

    Science.gov (United States)

    Verotta, D; Sheiner, L B; Ebling, W F; Stanski, D R

    1989-08-01

    By regarding sampled tissues in a physiological model as linear subsystems, the usual advantages of flow models are preserved while mitigating two of their disadvantages, (i) the need for assumptions regarding intratissue kinetics, and (ii) the need to simultaneously fit data from several tissues. To apply the linear systems approach, both arterial blood and (interesting) tissue drug concentrations must be measured. The body is modeled as having an arterial compartment (A) distributing drug to different linear subsystems (tissues), connected in a specific way by blood flow. The response (CA, with dimensions of concentration) of A is measured. Tissues receive input from A (and optionally from other tissues), and send output to the outside or to other parts of the body. The response (CT, total amount of drug in the tissue (T) divided by the volume of T) from the T-th one, for example, of such tissues is also observed. From linear systems theory, CT can be expressed as the convolution of CA with a disposition function, F(t) (with dimensions 1/time). The function F(t) depends on the (unknown) structure of T, but has certain other constant properties: The integral integral infinity0 F(t) dt is the steady state ratio of CT to CA, and the point F(0) is the clearance rate of drug from A to T divided by the volume of T. A formula for the clearance rate of drug from T to outside T can be derived. To estimate F(t) empirically, and thus mitigate disadvantage (i), we suggest that, first, a nonparametric (or parametric) function be fitted to CA data yielding predicted values, CA, and, second, the convolution integral of CA with F(t) be fitted to CT data using a deconvolution method. By so doing, each tissue's data are analyzed separately, thus mitigating disadvantage (ii). A method for system simulation is also proposed. The results of applying the approach to simulated data and to real thiopental data are reported.

  1. Modeling water quality in an urban river using hydrological factors--data driven approaches.

    Science.gov (United States)

    Chang, Fi-John; Tsai, Yu-Hsuan; Chen, Pin-An; Coynel, Alexandra; Vachaud, Georges

    2015-03-15

    Contrasting seasonal variations occur in river flow and water quality as a result of short duration, severe intensity storms and typhoons in Taiwan. Sudden changes in river flow caused by impending extreme events may impose serious degradation on river water quality and fateful impacts on ecosystems. Water quality is measured in a monthly/quarterly scale, and therefore an estimation of water quality in a daily scale would be of good help for timely river pollution management. This study proposes a systematic analysis scheme (SAS) to assess the spatio-temporal interrelation of water quality in an urban river and construct water quality estimation models using two static and one dynamic artificial neural networks (ANNs) coupled with the Gamma test (GT) based on water quality, hydrological and economic data. The Dahan River basin in Taiwan is the study area. Ammonia nitrogen (NH3-N) is considered as the representative parameter, a correlative indicator in judging the contamination level over the study. Key factors the most closely related to the representative parameter (NH3-N) are extracted by the Gamma test for modeling NH3-N concentration, and as a result, four hydrological factors (discharge, days w/o discharge, water temperature and rainfall) are identified as model inputs. The modeling results demonstrate that the nonlinear autoregressive with exogenous input (NARX) network furnished with recurrent connections can accurately estimate NH3-N concentration with a very high coefficient of efficiency value (0.926) and a low RMSE value (0.386 mg/l). Besides, the NARX network can suitably catch peak values that mainly occur in dry periods (September-April in the study area), which is particularly important to water pollution treatment. The proposed SAS suggests a promising approach to reliably modeling the spatio-temporal NH3-N concentration based solely on hydrological data, without using water quality sampling data. It is worth noticing that such estimation can be

  2. ARMA based approaches for forecasting the tuple of wind speed and direction

    Energy Technology Data Exchange (ETDEWEB)

    Erdem, Ergin; Shi, Jing [Department of Industrial and Manufacturing Engineering, North Dakota State University, Dept. 2485, PO Box 6050, Fargo, ND 58108 (United States)

    2011-04-15

    Short-term forecasting of wind speed and direction is of great importance to wind turbine operation and efficient energy harvesting. In this study, the forecasting of wind speed and direction tuple is performed. Four approaches based on autoregressive moving average (ARMA) method are employed for this purpose. The first approach features the decomposition of the wind speed into lateral and longitudinal components. Each component is represented by an ARMA model, and the results are combined to obtain the wind direction and speed forecasts. The second approach employs two independent ARMA models - a traditional ARMA model for predicting wind speed and a linked ARMA model for wind direction. The third approach features vector autoregression (VAR) models to forecast the tuple of wind attributes. The fourth approach involves employing a restricted version of the VAR approach to predict the same. By employing these four approaches, the hourly mean wind attributes are forecasted 1-h ahead for two wind observation sites in North Dakota, USA. The results are compared using the mean absolute error (MAE) as a measure for forecasting quality. It is found that the component model is better at predicting the wind direction than the traditional-linked ARMA model, whereas the opposite is observed for wind speed forecasting. Utilizing VAR approaches rather than the univariate counterparts brings modest improvement in wind direction prediction but not in wind speed prediction. Between restricted and unrestricted versions of VAR models, there is little difference in terms of forecasting performance. (author)

  3. Intra- and interseasonal autoregressive prediction of dengue outbreaks using local weather and regional climate for a tropical environment in Colombia.

    Science.gov (United States)

    Eastin, Matthew D; Delmelle, Eric; Casas, Irene; Wexler, Joshua; Self, Cameron

    2014-09-01

    Dengue fever transmission results from complex interactions between the virus, human hosts, and mosquito vectors-all of which are influenced by environmental factors. Predictive models of dengue incidence rate, based on local weather and regional climate parameters, could benefit disease mitigation efforts. Time series of epidemiological and meteorological data for the urban environment of Cali, Colombia are analyzed from January of 2000 to December of 2011. Significant dengue outbreaks generally occur during warm-dry periods with extreme daily temperatures confined between 18°C and 32°C--the optimal range for mosquito survival and viral transmission. Two environment-based, multivariate, autoregressive forecast models are developed that allow dengue outbreaks to be anticipated from 2 weeks to 6 months in advance. These models have the potential to enhance existing dengue early warning systems, ultimately supporting public health decisions on the timing and scale of vector control efforts.

  4. Forecasting Stock Exchange Movements Using Artificial Neural Network Models and Hybrid Models

    Science.gov (United States)

    Güreşen, Erkam; Kayakutlu, Gülgün

    Forecasting stock exchange rates is an important financial problem that is receiving increasing attention. During the last few years, a number of neural network models and hybrid models have been proposed for obtaining accurate prediction results, in an attempt to outperform the traditional linear and nonlinear approaches. This paper evaluates the effectiveness of neural network models; recurrent neural network (RNN), dynamic artificial neural network (DAN2) and the hybrid neural networks which use generalized autoregressive conditional heteroscedasticity (GARCH) and exponential generalized autoregressive conditional heteroscedasticity (EGARCH) to extract new input variables. The comparison for each model is done in two view points: MSE and MAD using real exchange daily rate values of Istanbul Stock Exchange (ISE) index XU10).

  5. Approaches and models of intercultural education

    Directory of Open Access Journals (Sweden)

    Iván Manuel Sánchez Fontalvo

    2013-10-01

    Full Text Available Needed to be aware of the need to build an intercultural society, awareness must be assumed in all social spheres, where stands the role play education. A role of transcendental, since it must promote educational spaces to form people with virtues and powers that allow them to live together / as in multicultural contexts and social diversities (sometimes uneven in an increasingly globalized and interconnected world, and foster the development of feelings of civic belonging shared before the neighborhood, city, region and country, allowing them concern and critical judgement to marginalization, poverty, misery and inequitable distribution of wealth, causes of structural violence, but at the same time, wanting to work for the welfare and transformation of these scenarios. Since these budgets, it is important to know the approaches and models of intercultural education that have been developed so far, analysing their impact on the contexts educational where apply.   

  6. Adaptive spline autoregression threshold method in forecasting Mitsubishi car sales volume at PT Srikandi Diamond Motors

    Science.gov (United States)

    Susanti, D.; Hartini, E.; Permana, A.

    2017-01-01

    Sale and purchase of the growing competition between companies in Indonesian, make every company should have a proper planning in order to win the competition with other companies. One of the things that can be done to design the plan is to make car sales forecast for the next few periods, it’s required that the amount of inventory of cars that will be sold in proportion to the number of cars needed. While to get the correct forecasting, on of the methods that can be used is the method of Adaptive Spline Threshold Autoregression (ASTAR). Therefore, this time the discussion will focus on the use of Adaptive Spline Threshold Autoregression (ASTAR) method in forecasting the volume of car sales in PT.Srikandi Diamond Motors using time series data.In the discussion of this research, forecasting using the method of forecasting value Adaptive Spline Threshold Autoregression (ASTAR) produce approximately correct.

  7. A computationally efficient autoregressive method for generating phase screens with frozen flow and turbulence in optical simulations

    CERN Document Server

    Srinath, Sriakr; Rudy, Alexander R; Ammons, S Mark

    2015-01-01

    We present a sample-based, autoregressive (AR) method for the generation and time evolution of atmospheric phase screens that is computationally efficient and uses a single parameter per Fourier mode to vary the power contained in the frozen flow and stochastic components. We address limitations of Fourier-based methods such as screen periodicity and low spatial frequency power content. Comparisons of adaptive optics (AO) simulator performance when fed AR phase screens and translating phase screens reveal significantly elevated residual closed-loop temporal power for small increases in added stochastic content at each time step, thus displaying the importance of properly modeling atmospheric "boiling". We present preliminary evidence that our model fits to AO telemetry are better reflections of real conditions than the pure frozen flow assumption.

  8. Development of a computationally efficient urban modeling approach

    DEFF Research Database (Denmark)

    Wolfs, Vincent; Murla, Damian; Ntegeka, Victor

    2016-01-01

    This paper presents a parsimonious and data-driven modelling approach to simulate urban floods. Flood levels simulated by detailed 1D-2D hydrodynamic models can be emulated using the presented conceptual modelling approach with a very short calculation time. In addition, the model detail can be a...

  9. Nonlinear time series modelling: an introduction

    OpenAIRE

    Simon M. Potter

    1999-01-01

    Recent developments in nonlinear time series modelling are reviewed. Three main types of nonlinear models are discussed: Markov Switching, Threshold Autoregression and Smooth Transition Autoregression. Classical and Bayesian estimation techniques are described for each model. Parametric tests for nonlinearity are reviewed with examples from the three types of models. Finally, forecasting and impulse response analysis is developed.

  10. Connectivity of channelized reservoirs: a modelling approach

    Energy Technology Data Exchange (ETDEWEB)

    Larue, David K. [ChevronTexaco, Bakersfield, CA (United States); Hovadik, Joseph [ChevronTexaco, San Ramon, CA (United States)

    2006-07-01

    Connectivity represents one of the fundamental properties of a reservoir that directly affects recovery. If a portion of the reservoir is not connected to a well, it cannot be drained. Geobody or sandbody connectivity is defined as the percentage of the reservoir that is connected, and reservoir connectivity is defined as the percentage of the reservoir that is connected to wells. Previous studies have mostly considered mathematical, physical and engineering aspects of connectivity. In the current study, the stratigraphy of connectivity is characterized using simple, 3D geostatistical models. Based on these modelling studies, stratigraphic connectivity is good, usually greater than 90%, if the net: gross ratio, or sand fraction, is greater than about 30%. At net: gross values less than 30%, there is a rapid diminishment of connectivity as a function of net: gross. This behaviour between net: gross and connectivity defines a characteristic 'S-curve', in which the connectivity is high for net: gross values above 30%, then diminishes rapidly and approaches 0. Well configuration factors that can influence reservoir connectivity are well density, well orientation (vertical or horizontal; horizontal parallel to channels or perpendicular) and length of completion zones. Reservoir connectivity as a function of net: gross can be improved by several factors: presence of overbank sandy facies, deposition of channels in a channel belt, deposition of channels with high width/thickness ratios, and deposition of channels during variable floodplain aggradation rates. Connectivity can be reduced substantially in two-dimensional reservoirs, in map view or in cross-section, by volume support effects and by stratigraphic heterogeneities. It is well known that in two dimensions, the cascade zone for the 'S-curve' of net: gross plotted against connectivity occurs at about 60% net: gross. Generalizing this knowledge, any time that a reservoir can be regarded as &apos

  11. The impact of oil-price shocks on Hawaii's economy: A case study using vector autoregression

    Energy Technology Data Exchange (ETDEWEB)

    Gopalakrishnan, C.; Tian, X. (Univ. of Hawaii at Manoa, Honolulu, HI (United States)); Tran, D. (Department of Commerce, Washington, D.C. (United States))

    The effects of oil-price shocks on the macroeconomic performance of a non-oil-producing, oil-importing state are studied in terms of Hawaii's experience (1974-1986) using Vector Autoregression (VAR). The VAR model contains three macrovariables-real oil price, interest rate, and real GNP, and three regional variable-total civilian labor force, Honolulu consumer price index, and real personal income. The results suggested that oil-price shock had a positive effect on interest rate as well as local price (i.e., higher interest and higher local price), but a negative influence on real GNP. The negative income effect, however, was offset by the positive employment effect. The price of oil was found to be exogenous to all other variables in the system. The macrovariables exerted a pronounced impact on Hawaii's economy, most notably on consumer price.

  12. Autoregressive processes with exponentially decaying probability distribution functions: applications to daily variations of a stock market index.

    Science.gov (United States)

    Porto, Markus; Roman, H Eduardo

    2002-04-01

    We consider autoregressive conditional heteroskedasticity (ARCH) processes in which the variance sigma(2)(y) depends linearly on the absolute value of the random variable y as sigma(2)(y) = a+b absolute value of y. While for the standard model, where sigma(2)(y) = a + b y(2), the corresponding probability distribution function (PDF) P(y) decays as a power law for absolute value of y-->infinity, in the linear case it decays exponentially as P(y) approximately exp(-alpha absolute value of y), with alpha = 2/b. We extend these results to the more general case sigma(2)(y) = a+b absolute value of y(q), with 0 history of the ARCH process is taken into account, the resulting PDF becomes a stretched exponential even for q = 1, with a stretched exponent beta = 2/3, in a much better agreement with the empirical data.

  13. Parameter estimation for stochastic hybrid model applied to urban traffic flow estimation

    OpenAIRE

    2015-01-01

    This study proposes a novel data-based approach for estimating the parameters of a stochastic hybrid model describing the traffic flow in an urban traffic network with signalized intersections. The model represents the evolution of the traffic flow rate, measuring the number of vehicles passing a given location per time unit. This traffic flow rate is described using a mode-dependent first-order autoregressive (AR) stochastic process. The parameters of the AR process take different values dep...

  14. Stochastic modeling and generation of synthetic sequences of hourly global solar irradiation at Quetta, Pakistan

    Energy Technology Data Exchange (ETDEWEB)

    Kamal, Lalarukh [Balochistan Univ., Dept. of Mathematics, Quetta (Pakistan); Jafri, Yasmin Zahra [Balochistan Univ., Dept. of Statistics, Quetta (Pakistan)

    1999-07-01

    Using hourly global radiation data at Quetta, Pakistan for 10 yr, an Autoregressive Moving Average (ARMA) process is fitted. Markov Transition Matrices have also been developed. These models are used for generating synthetic sequences for hourly radiations in MJ/m{sup 2} and that the generated sequences are compared with the observed data. We found the MTM approach relatively better as a simulator compared to ARMA modeling. (Author)

  15. Adaptive Algorithm for Estimation of Two-Dimensional Autoregressive Fields from Noisy Observations

    Directory of Open Access Journals (Sweden)

    Alimorad Mahmoudi

    2014-01-01

    Full Text Available This paper deals with the problem of two-dimensional autoregressive (AR estimation from noisy observations. The Yule-Walker equations are solved using adaptive steepest descent (SD algorithm. Performance comparisons are made with other existing methods to demonstrate merits of the proposed method.

  16. On the Oracle Property of the Adaptive LASSO in Stationary and Nonstationary Autoregressions

    DEFF Research Database (Denmark)

    Kock, Anders Bredahl

    We show that the Adaptive LASSO is oracle efficient in stationary and non-stationary autoregressions. This means that it estimates parameters consistently, selects the correct sparsity pattern, and estimates the coefficients belonging to the relevant variables at the same asymptotic efficiency...

  17. Forecasting the Levels of Vector Autoregressive Log-Transformed Time Series

    NARCIS (Netherlands)

    M.A. Ariñ o; Ph.H.B.F. Franses (Philip Hans)

    1996-01-01

    textabstractIn this paper we give explicit expressions for the forecasts of levels of a vector time series when such forecasts are generated from (possibly cointegrated) vector autoregressions for the corresponding log-transformed time series. We also show that simply taking exponentials of forecast

  18. A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions

    DEFF Research Database (Denmark)

    Nielsen, Heino Bohn

    2007-01-01

    A maximum-eigenvalue test for the number of stochastic I(2) trends in a vector autoregression is suggested. The asymptotic distribution coincides with the distribution of the I(1) maximum-eigenvalue test. In two examples, the test reconciles empirical evidence with plausible economic scenarios...

  19. Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility

    DEFF Research Database (Denmark)

    Cavaliere, Giuseppe; Rahbek, Anders Christian; Taylor, A. M. Robert

    Many key macro-economic and …nancial variables are characterised by permanent changes in unconditional volatility. In this paper we analyse vector autoregressions with non-stationary (unconditional) volatility of a very general form, which includes single and multiple volatility breaks as special...

  20. Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility

    DEFF Research Database (Denmark)

    Cavaliere, Guiseppe; Rahbæk, Anders; Taylor, A.M. Robert

    Many key macro-economic and financial variables are characterised by permanent changes in unconditional volatility. In this paper we analyse vector autoregressions with non-stationary (unconditional) volatility of a very general form, which includes single and multiple volatility breaks as special...

  1. A Causal, Data-driven Approach to Modeling the Kepler Data

    Science.gov (United States)

    Wang, Dun; Hogg, David W.; Foreman-Mackey, Daniel; Schölkopf, Bernhard

    2016-09-01

    Astronomical observations are affected by several kinds of noise, each with its own causal source; there is photon noise, stochastic source variability, and residuals coming from imperfect calibration of the detector or telescope. The precision of NASA Kepler photometry for exoplanet science—the most precise photometric measurements of stars ever made—appears to be limited by unknown or untracked variations in spacecraft pointing and temperature, and unmodeled stellar variability. Here, we present the causal pixel model (CPM) for Kepler data, a data-driven model intended to capture variability but preserve transit signals. The CPM works at the pixel level so that it can capture very fine-grained information about the variation of the spacecraft. The CPM models the systematic effects in the time series of a pixel using the pixels of many other stars and the assumption that any shared signal in these causally disconnected light curves is caused by instrumental effects. In addition, we use the target star’s future and past (autoregression). By appropriately separating, for each data point, the data into training and test sets, we ensure that information about any transit will be perfectly isolated from the model. The method has four tuning parameters—the number of predictor stars or pixels, the autoregressive window size, and two L2-regularization amplitudes for model components, which we set by cross-validation. We determine values for tuning parameters that works well for most of the stars and apply the method to a corresponding set of target stars. We find that CPM can consistently produce low-noise light curves. In this paper, we demonstrate that pixel-level de-trending is possible while retaining transit signals, and we think that methods like CPM are generally applicable and might be useful for K2, TESS, etc., where the data are not clean postage stamps like Kepler.

  2. Outlier Detection in Structural Time Series Models

    DEFF Research Database (Denmark)

    Marczak, Martyna; Proietti, Tommaso

    –to–specific approach to the detection of structural change, currently implemented in Autometrics via indicator saturation, has proven to be both practical and effective in the context of stationary dynamic regression models and unit–root autoregressions. By focusing on impulse– and step–indicator saturation, we...... investigate via Monte Carlo simulations how this approach performs for detecting additive outliers and level shifts in the analysis of nonstationary seasonal time series. The reference model is the basic structural model, featuring a local linear trend, possibly integrated of order two, stochastic seasonality...

  3. 基于NARMAX模型的Hopfield网络系统辨识%System identification based on NARMAX model using Hopfield networks

    Institute of Scientific and Technical Information of China (English)

    石宏理; 蔡远利; 邱祖廉

    2006-01-01

    An approach is proposed to avoid model structure determination in system identification using NARMAX (nonlinear autoregressive moving average with exogenous inputs) model.Identification procedure is formulated as an optimization procedure of a special class of Hopfield network in the proposed approach.The particular structure of these Hopfield networks can avoid the local optimum problem.Training of these Hopfield network achieves model structure determination and parameter estimation. Convergence of Hopfield networks guarantees that a NARMAX model of random initial state will approach a valid identification model with accurate state parameters.Results of two simulation examples illustrate that this approach is efficient and simple.

  4. Uncertainty in biology a computational modeling approach

    CERN Document Server

    Gomez-Cabrero, David

    2016-01-01

    Computational modeling of biomedical processes is gaining more and more weight in the current research into the etiology of biomedical problems and potential treatment strategies.  Computational modeling allows to reduce, refine and replace animal experimentation as well as to translate findings obtained in these experiments to the human background. However these biomedical problems are inherently complex with a myriad of influencing factors, which strongly complicates the model building and validation process.  This book wants to address four main issues related to the building and validation of computational models of biomedical processes: Modeling establishment under uncertainty Model selection and parameter fitting Sensitivity analysis and model adaptation Model predictions under uncertainty In each of the abovementioned areas, the book discusses a number of key-techniques by means of a general theoretical description followed by one or more practical examples.  This book is intended for graduate stude...

  5. ALREST High Fidelity Modeling Program Approach

    Science.gov (United States)

    2011-05-18

    Gases and Mixtures of Redlich - Kwong and Peng- Robinson Fluids Assumed pdf Model based on k- ε-g Model in NASA/LaRc Vulcan code Level Set model...Potential Attractiveness Of Liquid Hydrocarbon Engines For Boost Applications • Propensity Of Hydrocarbon Engines For Combustion Instability • Air

  6. Second-order stochastic differential equation model as an alternative for the ALT and CALT models

    NARCIS (Netherlands)

    Oud, J.H.L.

    2010-01-01

    The paper first discusses the autoregressive latent trajectory (ALT) model and presents in detail its improved version, the continuous-time autoregressive latent trajectory (CALT) model. Next, serious problems related to the linear components in the ALT and CALT models are dealt with. As an alternat

  7. A Multivariate Approach to Functional Neuro Modeling

    DEFF Research Database (Denmark)

    Mørch, Niels J.S.

    1998-01-01

    , provides the basis for a generalization theoretical framework relating model performance to model complexity and dataset size. Briefly summarized the major topics discussed in the thesis include: - An introduction of the representation of functional datasets by pairs of neuronal activity patterns...... a generalization theoretical framework centered around measures of model generalization error. - Only few, if any, examples of the application of generalization theory to functional neuro modeling currently exist in the literature. - Exemplification of the proposed generalization theoretical framework...... as particularly important; optimal model flexibility is a function of both the complexity and the size of the dataset at hand. This is something that has not received appropriate attention by the functional neuro modeling community so far. The observation implies that optimal model performance rarely is achieved...

  8. A model-based multisensor data fusion knowledge management approach

    Science.gov (United States)

    Straub, Jeremy

    2014-06-01

    A variety of approaches exist for combining data from multiple sensors. The model-based approach combines data based on its support for or refutation of elements of the model which in turn can be used to evaluate an experimental thesis. This paper presents a collection of algorithms for mapping various types of sensor data onto a thesis-based model and evaluating the truth or falsity of the thesis, based on the model. The use of this approach for autonomously arriving at findings and for prioritizing data are considered. Techniques for updating the model (instead of arriving at a true/false assertion) are also discussed.

  9. Comparison of two novel approaches to model fibre reinforced concrete

    NARCIS (Netherlands)

    Radtke, F.K.F.; Simone, A.; Sluys, L.J.

    2009-01-01

    We present two approaches to model fibre reinforced concrete. In both approaches, discrete fibre distributions and the behaviour of the fibre-matrix interface are explicitly considered. One approach employs the reaction forces from fibre to matrix while the other is based on the partition of unity f

  10. Multilevel vector autoregressive prediction of sea surface temperature in the North Tropical Atlantic Ocean and the Caribbean Sea

    Science.gov (United States)

    Lee, Dong Eun; Chapman, David; Henderson, Naomi; Chen, Chen; Cane, Mark A.

    2016-07-01

    We use a multilevel vector autoregressive model (VAR-L), to forecast sea surface temperature anomalies (SSTAs) in the Atlantic hurricane Main Development Region (MDR). VAR-L is a linear regression model using global SSTA data from L prior months as predictors. In hindcasts for the recent 30 years, the multilevel VAR-L outperforms a state-of-the-art dynamic forecast model, as well as the commonly used linear inverse model (LIM). The multilevel VAR-L model shows skill in 6-12 month forecasts, with its greatest skill in the months of the active hurricane season. The optimized model for the best long-range skill score in the MDR, chosen by a cross-validation procedure, has 12 time levels and 12 empirical orthogonal function modes. We investigate the optimal initial conditions for MDR SSTA prediction using a generalized singular vector decomposition of the propagation matrix. We find that the added temporal degrees of freedom for the predictands in VAR12 as compared with a LIM model, which allow the model to capture both the local wind-evaporation-SST feedback in the Tropical Atlantic and the impact on the Atlantic of an improved medium-range ENSO forecast, elevate the long-range forecast skill in the MDR.

  11. Modelling the World Wool Market: A Hybrid Approach

    OpenAIRE

    2007-01-01

    We present a model of the world wool market that merges two modelling traditions: the partialequilibrium commodity-specific approach and the computable general-equilibrium approach. The model captures the multistage nature of the wool production system, and the heterogeneous nature of raw wool, processed wool and wool garments. It also captures the important wool producing and consuming regions of the world. We illustrate the utility of the model by estimating the effects of tariff barriers o...

  12. Measuring equilibrium models: a multivariate approach

    Directory of Open Access Journals (Sweden)

    Nadji RAHMANIA

    2011-04-01

    Full Text Available This paper presents a multivariate methodology for obtaining measures of unobserved macroeconomic variables. The used procedure is the multivariate Hodrick-Prescot which depends on smoothing param eters. The choice of these parameters is crucial. Our approach is based on consistent estimators of these parameters, depending only on the observed data.

  13. Regularization of turbulence - a comprehensive modeling approach

    NARCIS (Netherlands)

    Geurts, Bernard J.

    2011-01-01

    Turbulence readily arises in numerous flows in nature and technology. The large number of degrees of freedom of turbulence poses serious challenges to numerical approaches aimed at simulating and controlling such flows. While the Navier-Stokes equations are commonly accepted to precisely describe fl

  14. Comparison of conventional averaged and rapid averaged, autoregressive-based extracted auditory evoked potentials for monitoring the hypnotic level during propofol induction

    DEFF Research Database (Denmark)

    Litvan, Héctor; Jensen, Erik W; Galan, Josefina;

    2002-01-01

    The extraction of the middle latency auditory evoked potentials (MLAEP) is usually done by moving time averaging (MTA) over many sweeps (often 250-1,000), which could produce a delay of more than 1 min. This problem was addressed by applying an autoregressive model with exogenous input (ARX......) that enables extraction of the auditory evoked potentials (AEP) within 15 sweeps. The objective of this study was to show that an AEP could be extracted faster by ARX than by MTA and with the same reliability....

  15. An algebraic approach to the Hubbard model

    CERN Document Server

    de Leeuw, Marius

    2015-01-01

    We study the algebraic structure of an integrable Hubbard-Shastry type lattice model associated with the centrally extended su(2|2) superalgebra. This superalgebra underlies Beisert's AdS/CFT worldsheet R-matrix and Shastry's R-matrix. The considered model specializes to the one-dimensional Hubbard model in a certain limit. We demonstrate that Yangian symmetries of the R-matrix specialize to the Yangian symmetry of the Hubbard model found by Korepin and Uglov. Moreover, we show that the Hubbard model Hamiltonian has an algebraic interpretation as the so-called secret symmetry. We also discuss Yangian symmetries of the A and B models introduced by Frolov and Quinn.

  16. Identification of Civil Engineering Structures using Vector ARMA Models

    DEFF Research Database (Denmark)

    Andersen, P.

    The dissertation treats the matter of systems identification and modelling of load-bearing constructions using Auto-Regressive Moving Average Vector (ARMAV) models.......The dissertation treats the matter of systems identification and modelling of load-bearing constructions using Auto-Regressive Moving Average Vector (ARMAV) models....

  17. A geometrical approach to structural change modeling

    OpenAIRE

    Stijepic, Denis

    2013-01-01

    We propose a model for studying the dynamics of economic structures. The model is based on qualitative information regarding structural dynamics, in particular, (a) the information on the geometrical properties of trajectories (and their domains) which are studied in structural change theory and (b) the empirical information from stylized facts of structural change. We show that structural change is path-dependent in this model and use this fact to restrict the number of future structural cha...

  18. A graphical approach to analogue behavioural modelling

    OpenAIRE

    Moser, Vincent; Nussbaum, Pascal; Amann, Hans-Peter; Astier, Luc; Pellandini, Fausto

    2007-01-01

    In order to master the growing complexity of analogue electronic systems, modelling and simulation of analogue hardware at various levels is absolutely necessary. This paper presents an original modelling method based on the graphical description of analogue electronic functional blocks. This method is intended to be automated and integrated into a design framework: specialists create behavioural models of existing functional blocks, that can then be used through high-level selection and spec...

  19. Consumer preference models: fuzzy theory approach

    Science.gov (United States)

    Turksen, I. B.; Wilson, I. A.

    1993-12-01

    Consumer preference models are widely used in new product design, marketing management, pricing and market segmentation. The purpose of this article is to develop and test a fuzzy set preference model which can represent linguistic variables in individual-level models implemented in parallel with existing conjoint models. The potential improvements in market share prediction and predictive validity can substantially improve management decisions about what to make (product design), for whom to make it (market segmentation) and how much to make (market share prediction).

  20. A New Approach for Magneto-Static Hysteresis Behavioral Modeling

    DEFF Research Database (Denmark)

    Astorino, Antonio; Swaminathan, Madhavan; Antonini, Giulio

    2016-01-01

    In this paper, a new behavioral modeling approach for magneto-static hysteresis is presented. Many accurate models are currently available, but none of them seems to be able to correctly reproduce all the possible B-H paths with low computational cost. By contrast, the approach proposed...... achieved when comparing the measured and simulated results....

  1. Nucleon Spin Content in a Relativistic Quark Potential Model Approach

    Institute of Scientific and Technical Information of China (English)

    DONG YuBing; FENG QingGuo

    2002-01-01

    Based on a relativistic quark model approach with an effective potential U(r) = (ac/2)(1 + γ0)r2, the spin content of the nucleon is investigated. Pseudo-scalar interaction between quarks and Goldstone bosons is employed to calculate the couplings between the Goldstone bosons and the nucleon. Different approaches to deal with the center of mass correction in the relativistic quark potential model approach are discussed.

  2. An approach for activity-based DEVS model specification

    DEFF Research Database (Denmark)

    Alshareef, Abdurrahman; Sarjoughian, Hessam S.; Zarrin, Bahram

    2016-01-01

    activity-based behavior modeling of parallel DEVS atomic models. We consider UML activities and actions as fundamental units of behavior modeling, especially in the presence of recent advances in the UML 2.5 specifications. We describe in detail how to approach activity modeling with a set of elemental...

  3. A simple approach to modeling ductile failure.

    Energy Technology Data Exchange (ETDEWEB)

    Wellman, Gerald William

    2012-06-01

    Sandia National Laboratories has the need to predict the behavior of structures after the occurrence of an initial failure. In some cases determining the extent of failure, beyond initiation, is required, while in a few cases the initial failure is a design feature used to tailor the subsequent load paths. In either case, the ability to numerically simulate the initiation and propagation of failures is a highly desired capability. This document describes one approach to the simulation of failure initiation and propagation.

  4. Challenges and opportunities for integrating lake ecosystem modelling approaches

    Science.gov (United States)

    Mooij, Wolf M.; Trolle, Dennis; Jeppesen, Erik; Arhonditsis, George; Belolipetsky, Pavel V.; Chitamwebwa, Deonatus B.R.; Degermendzhy, Andrey G.; DeAngelis, Donald L.; Domis, Lisette N. De Senerpont; Downing, Andrea S.; Elliott, J. Alex; Ruberto, Carlos Ruberto; Gaedke, Ursula; Genova, Svetlana N.; Gulati, Ramesh D.; Hakanson, Lars; Hamilton, David P.; Hipsey, Matthew R.; Hoen, Jochem 't; Hulsmann, Stephan; Los, F. Hans; Makler-Pick, Vardit; Petzoldt, Thomas; Prokopkin, Igor G.; Rinke, Karsten; Schep, Sebastiaan A.; Tominaga, Koji; Van Dam, Anne A.; Van Nes, Egbert H.; Wells, Scott A.; Janse, Jan H.

    2010-01-01

    A large number and wide variety of lake ecosystem models have been developed and published during the past four decades. We identify two challenges for making further progress in this field. One such challenge is to avoid developing more models largely following the concept of others ('reinventing the wheel'). The other challenge is to avoid focusing on only one type of model, while ignoring new and diverse approaches that have become available ('having tunnel vision'). In this paper, we aim at improving the awareness of existing models and knowledge of concurrent approaches in lake ecosystem modelling, without covering all possible model tools and avenues. First, we present a broad variety of modelling approaches. To illustrate these approaches, we give brief descriptions of rather arbitrarily selected sets of specific models. We deal with static models (steady state and regression models), complex dynamic models (CAEDYM, CE-QUAL-W2, Delft 3D-ECO, LakeMab, LakeWeb, MyLake, PCLake, PROTECH, SALMO), structurally dynamic models and minimal dynamic models. We also discuss a group of approaches that could all be classified as individual based: super-individual models (Piscator, Charisma), physiologically structured models, stage-structured models and trait-based models. We briefly mention genetic algorithms, neural networks, Kalman filters and fuzzy logic. Thereafter, we zoom in, as an in-depth example, on the multi-decadal development and application of the lake ecosystem model PCLake and related models (PCLake Metamodel, Lake Shira Model, IPH-TRIM3D-PCLake). In the discussion, we argue that while the historical development of each approach and model is understandable given its 'leading principle', there are many opportunities for combining approaches. We take the point of view that a single 'right' approach does not exist and should not be strived for. Instead, multiple modelling approaches, applied concurrently to a given problem, can help develop an integrative

  5. The ACR Model

    DEFF Research Database (Denmark)

    Bec, Frederique; Rahbek, Anders Christian; Shephard, Neil

    2008-01-01

    This paper proposes and analyses the autoregressive conditional root (ACR) time-series model. This multivariate dynamic mixture autoregression allows for non-stationary epochs. It proves to be an appealing alternative to existing nonlinear models, e.g. the threshold autoregressive or Markov...... switching class of models, which are commonly used to describe nonlinear dynamics as implied by arbitrage in presence of transaction costs. Simple conditions on the parameters of the ACR process and its innovations are shown to imply geometric ergodicity, stationarity and existence of moments. Furthermore......, consistency and asymptotic normality of the maximum likelihood estimators are established. An application to real exchange rate data illustrates the analysis....

  6. Machine Learning Approaches for Modeling Spammer Behavior

    CERN Document Server

    Islam, Md Saiful; Islam, Md Rafiqul

    2010-01-01

    Spam is commonly known as unsolicited or unwanted email messages in the Internet causing potential threat to Internet Security. Users spend a valuable amount of time deleting spam emails. More importantly, ever increasing spam emails occupy server storage space and consume network bandwidth. Keyword-based spam email filtering strategies will eventually be less successful to model spammer behavior as the spammer constantly changes their tricks to circumvent these filters. The evasive tactics that the spammer uses are patterns and these patterns can be modeled to combat spam. This paper investigates the possibilities of modeling spammer behavioral patterns by well-known classification algorithms such as Na\\"ive Bayesian classifier (Na\\"ive Bayes), Decision Tree Induction (DTI) and Support Vector Machines (SVMs). Preliminary experimental results demonstrate a promising detection rate of around 92%, which is considerably an enhancement of performance compared to similar spammer behavior modeling research.

  7. Random matrix model approach to chiral symmetry

    CERN Document Server

    Verbaarschot, J J M

    1996-01-01

    We review the application of random matrix theory (RMT) to chiral symmetry in QCD. Starting from the general philosophy of RMT we introduce a chiral random matrix model with the global symmetries of QCD. Exact results are obtained for universal properties of the Dirac spectrum: i) finite volume corrections to valence quark mass dependence of the chiral condensate, and ii) microscopic fluctuations of Dirac spectra. Comparisons with lattice QCD simulations are made. Most notably, the variance of the number of levels in an interval containing $n$ levels on average is suppressed by a factor $(\\log n)/\\pi^2 n$. An extension of the random matrix model model to nonzero temperatures and chemical potential provides us with a schematic model of the chiral phase transition. In particular, this elucidates the nature of the quenched approximation at nonzero chemical potential.

  8. Infectious disease modeling a hybrid system approach

    CERN Document Server

    Liu, Xinzhi

    2017-01-01

    This volume presents infectious diseases modeled mathematically, taking seasonality and changes in population behavior into account, using a switched and hybrid systems framework. The scope of coverage includes background on mathematical epidemiology, including classical formulations and results; a motivation for seasonal effects and changes in population behavior, an investigation into term-time forced epidemic models with switching parameters, and a detailed account of several different control strategies. The main goal is to study these models theoretically and to establish conditions under which eradication or persistence of the disease is guaranteed. In doing so, the long-term behavior of the models is determined through mathematical techniques from switched systems theory. Numerical simulations are also given to augment and illustrate the theoretical results and to help study the efficacy of the control schemes.

  9. Second Quantization Approach to Stochastic Epidemic Models

    CERN Document Server

    Mondaini, Leonardo

    2015-01-01

    We show how the standard field theoretical language based on creation and annihilation operators may be used for a straightforward derivation of closed master equations describing the population dynamics of multivariate stochastic epidemic models. In order to do that, we introduce an SIR-inspired stochastic model for hepatitis C virus epidemic, from which we obtain the time evolution of the mean number of susceptible, infected, recovered and chronically infected individuals in a population whose total size is allowed to change.

  10. Flipped models in Trinification: A Comprehensive Approach

    CERN Document Server

    Rodríguez, Oscar; Ponce, William A; Rojas, Eduardo

    2016-01-01

    By considering the 3-3-1 and the left-right symmetric models as low energy effective theories of the trinification group, alternative versions of these models are found. The new neutral gauge bosons in the universal 3-3-1 model and its flipped versions are considered; also, the left-right symmetric model and the two flipped variants of it are also studied. For these models, the couplings of the $Z'$ bosons to the standard model fermions are reported. The explicit form of the null space of the vector boson mass matrix for an arbitrary Higgs tensor and gauge group is also presented. In the general framework of the trinification gauge group, and by using the LHC experimental results and EW precision data, limits on the $Z'$ mass and the mixing angle between $Z$ and the new gauge bosons $Z'$ are imposed. The general results call for very small mixing angles in the range $10^{-3}$ radians and $M_{Z'}$ > 2.5 TeV.

  11. Approaching models of nursing from a postmodernist perspective.

    Science.gov (United States)

    Lister, P

    1991-02-01

    This paper explores some questions about the use of models of nursing. These questions make various assumptions about the nature of models of nursing, in general and in particular. Underlying these assumptions are various philosophical positions which are explored through an introduction to postmodernist approaches in philosophical criticism. To illustrate these approaches, a critique of the Roper et al. model is developed, and more general attitudes towards models of nursing are examined. It is suggested that postmodernism offers a challenge to many of the assumptions implicit in models of nursing, and that a greater awareness of these assumptions should lead to nursing care being better informed where such models are in use.

  12. THEORETICAL MODEL AND NUMERICAL METHOD ON ONLINE IDENTIFICATION OF DYNAMICAL CHARACTERISTICS OF STRUCTURAL SYSTEM

    Institute of Scientific and Technical Information of China (English)

    姚志远; 汪凤泉

    2004-01-01

    An online method of identification of dynamic characteristics only using measured ambient response of structural dynamic system is widely focused on. The Ibrahim and ARMA (AutoRegressive Moving Average ) methods are basic identification methods. A model on dynamic system suffered by random ambient excitation was researched into, and a subspace decomposition method being different from traditional harmonic retrieval method was introduced. Robustness and effectiveness of this approach on identification of vibration characteristics are demonstrated on numerical experiment.

  13. Manufacturing Excellence Approach to Business Performance Model

    Directory of Open Access Journals (Sweden)

    Jesus Cruz Alvarez

    2015-03-01

    Full Text Available Six Sigma, lean manufacturing, total quality management, quality control, and quality function deployment are the fundamental set of tools to enhance productivity in organizations. There is some research that outlines the benefit of each tool into a particular context of firm´s productivity, but not into a broader context of firm´s competitiveness that is achieved thru business performance. The aim of this theoretical research paper is to contribute to this mean and propose a manufacturing excellence approach that links productivity tools into a broader context of business performance.

  14. MDA based-approach for UML Models Complete Comparison

    CERN Document Server

    Chaouni, Samia Benabdellah; Mouline, Salma

    2011-01-01

    If a modeling task is distributed, it will frequently be necessary to integrate models developed by different team members. Problems occur in the models integration step and particularly, in the comparison phase of the integration. This issue had been discussed in several domains and various models. However, previous approaches have not correctly handled the semantic comparison. In the current paper, we provide a MDA-based approach for models comparison which aims at comparing UML models. We develop an hybrid approach which takes into account syntactic, semantic and structural comparison aspects. For this purpose, we use the domain ontology as well as other resources such as dictionaries. We propose a decision support system which permits the user to validate (or not) correspondences extracted in the comparison phase. For implementation, we propose an extension of the generic correspondence metamodel AMW in order to transform UML models to the correspondence model.

  15. Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach

    Institute of Scientific and Technical Information of China (English)

    CHAN Kung-Sik; TONG Howell; STENSETH Nils Chr

    2009-01-01

    The study of the rodent fluctuations of the North was initiated in its modern form with Elton's pioneering work. Many scientific studies have been designed to collect yearly rodent abundance data, but the resulting time series are generally subject to at least two "problems": being short and non-linear. We explore the use of the continuous threshold autoregressive (TAR) models for analyzing such data. In the simplest case, the continuous TAR models are additive autoregressive models, being piecewise linear in one lag, and linear in all other lags. The location of the slope change is called the threshold parameter. The continuous TAR models for rodent abundance data can be derived from a general prey-predator model under some simplifying assumptions. The lag in which the threshold is located sheds important insights on the structure of the prey-predator system. We propose to assess the uncertainty on the location of the threshold via a new bootstrap called the nearest block bootstrap (NBB) which combines the methods of moving block bootstrap and the nearest neighbor bootstrap.The NBB assumes an underlying finite-order time-homogeneous Markov process. Essentially, the NBB bootstraps blocks of random block sizes, with each block being drawn from a non-parametric estimate of the future distribution given the realized past bootstrap series. We illustrate the methods by simulations and on a particular rodent abundance time series from Kilpisjarvi, Northern Finland.

  16. Mixture modeling approach to flow cytometry data.

    Science.gov (United States)

    Boedigheimer, Michael J; Ferbas, John

    2008-05-01

    Flow Cytometry has become a mainstay technique for measuring fluorescent and physical attributes of single cells in a suspended mixture. These data are reduced during analysis using a manual or semiautomated process of gating. Despite the need to gate data for traditional analyses, it is well recognized that analyst-to-analyst variability can impact the dataset. Moreover, cells of interest can be inadvertently excluded from the gate, and relationships between collected variables may go unappreciated because they were not included in the original analysis plan. A multivariate non-gating technique was developed and implemented that accomplished the same goal as traditional gating while eliminating many weaknesses. The procedure was validated against traditional gating for analysis of circulating B cells in normal donors (n = 20) and persons with Systemic Lupus Erythematosus (n = 42). The method recapitulated relationships in the dataset while providing for an automated and objective assessment of the data. Flow cytometry analyses are amenable to automated analytical techniques that are not predicated on discrete operator-generated gates. Such alternative approaches can remove subjectivity in data analysis, improve efficiency and may ultimately enable construction of large bioinformatics data systems for more sophisticated approaches to hypothesis testing.

  17. An Application of Non-Linear Autoregressive Neural Networks to Predict Energy Consumption in Public Buildings

    Directory of Open Access Journals (Sweden)

    Luis Gonzaga Baca Ruiz

    2016-08-01

    Full Text Available This paper addresses the problem of energy consumption prediction using neural networks over a set of public buildings. Since energy consumption in the public sector comprises a substantial share of overall consumption, the prediction of such consumption represents a decisive issue in the achievement of energy savings. In our experiments, we use the data provided by an energy consumption monitoring system in a compound of faculties and research centers at the University of Granada, and provide a methodology to predict future energy consumption using nonlinear autoregressive (NAR and the nonlinear autoregressive neural network with exogenous inputs (NARX, respectively. Results reveal that NAR and NARX neural networks are both suitable for performing energy consumption prediction, but also that exogenous data may help to improve the accuracy of predictions.

  18. A consortium approach to glass furnace modeling.

    Energy Technology Data Exchange (ETDEWEB)

    Chang, S.-L.; Golchert, B.; Petrick, M.

    1999-04-20

    Using computational fluid dynamics to model a glass furnace is a difficult task for any one glass company, laboratory, or university to accomplish. The task of building a computational model of the furnace requires knowledge and experience in modeling two dissimilar regimes (the combustion space and the liquid glass bath), along with the skill necessary to couple these two regimes. Also, a detailed set of experimental data is needed in order to evaluate the output of the code to ensure that the code is providing proper results. Since all these diverse skills are not present in any one research institution, a consortium was formed between Argonne National Laboratory, Purdue University, Mississippi State University, and five glass companies in order to marshal these skills into one three-year program. The objective of this program is to develop a fully coupled, validated simulation of a glass melting furnace that may be used by industry to optimize the performance of existing furnaces.

  19. A moving approach for the Vector Hysteron Model

    Energy Technology Data Exchange (ETDEWEB)

    Cardelli, E. [Department of Engineering, University of Perugia, Via G. Duranti 93, 06125 Perugia (Italy); Faba, A., E-mail: antonio.faba@unipg.it [Department of Engineering, University of Perugia, Via G. Duranti 93, 06125 Perugia (Italy); Laudani, A. [Department of Engineering, Roma Tre University, Via V. Volterra 62, 00146 Rome (Italy); Quondam Antonio, S. [Department of Engineering, University of Perugia, Via G. Duranti 93, 06125 Perugia (Italy); Riganti Fulginei, F.; Salvini, A. [Department of Engineering, Roma Tre University, Via V. Volterra 62, 00146 Rome (Italy)

    2016-04-01

    A moving approach for the VHM (Vector Hysteron Model) is here described, to reconstruct both scalar and rotational magnetization of electrical steels with weak anisotropy, such as the non oriented grain Silicon steel. The hysterons distribution is postulated to be function of the magnetization state of the material, in order to overcome the practical limitation of the congruency property of the standard VHM approach. By using this formulation and a suitable accommodation procedure, the results obtained indicate that the model is accurate, in particular in reproducing the experimental behavior approaching to the saturation region, allowing a real improvement respect to the previous approach.

  20. Nonperturbative approach to the modified statistical model

    Energy Technology Data Exchange (ETDEWEB)

    Magdy, M.A.; Bekmezci, A.; Sever, R. [Middle East Technical Univ., Ankara (Turkey)

    1993-12-01

    The modified form of the statistical model is used without making any perturbation. The mass spectra of the lowest S, P and D levels of the (Q{bar Q}) and the non-self-conjugate (Q{bar q}) mesons are studied with the Song-Lin potential. The authors results are in good agreement with the experimental and theoretical findings.

  1. "Dispersion modeling approaches for near road

    Science.gov (United States)

    Roadway design and roadside barriers can have significant effects on the dispersion of traffic-generated pollutants, especially in the near-road environment. Dispersion models that can accurately simulate these effects are needed to fully assess these impacts for a variety of app...

  2. Integration models: multicultural and liberal approaches confronted

    Science.gov (United States)

    Janicki, Wojciech

    2012-01-01

    European societies have been shaped by their Christian past, upsurge of international migration, democratic rule and liberal tradition rooted in religious tolerance. Boosting globalization processes impose new challenges on European societies, striving to protect their diversity. This struggle is especially clearly visible in case of minorities trying to resist melting into mainstream culture. European countries' legal systems and cultural policies respond to these efforts in many ways. Respecting identity politics-driven group rights seems to be the most common approach, resulting in creation of a multicultural society. However, the outcome of respecting group rights may be remarkably contradictory to both individual rights growing out from liberal tradition, and to reinforced concept of integration of immigrants into host societies. The hereby paper discusses identity politics upturn in the context of both individual rights and integration of European societies.

  3. Determination of Complex-Valued Parametric Model Coefficients Using Artificial Neural Network Technique

    Directory of Open Access Journals (Sweden)

    A. M. Aibinu

    2010-01-01

    Full Text Available A new approach for determining the coefficients of a complex-valued autoregressive (CAR and complex-valued autoregressive moving average (CARMA model coefficients using complex-valued neural network (CVNN technique is discussed in this paper. The CAR and complex-valued moving average (CMA coefficients which constitute a CARMA model are computed simultaneously from the adaptive weights and coefficients of the linear activation functions in a two-layered CVNN. The performance of the proposed technique has been evaluated using simulated complex-valued data (CVD with three different types of activation functions. The results show that the proposed method can accurately determine the model coefficients provided that the network is properly trained. Furthermore, application of the developed CVNN-based technique for MRI K-space reconstruction results in images with improve resolution.

  4. Estimation of Time-Varying Autoregressive Symmetric Alpha Stable

    Data.gov (United States)

    National Aeronautics and Space Administration — In the last decade alpha-stable distributions have become a standard model for impulsive data. Especially the linear symmetric alpha-stable processes have found...

  5. Quantum Machine and SR Approach: a Unified Model

    CERN Document Server

    Garola, C; Sozzo, S; Garola, Claudio; Pykacz, Jaroslav; Sozzo, Sandro

    2005-01-01

    The Geneva-Brussels approach to quantum mechanics (QM) and the semantic realism (SR) nonstandard interpretation of QM exhibit some common features and some deep conceptual differences. We discuss in this paper two elementary models provided in the two approaches as intuitive supports to general reasonings and as a proof of consistency of general assumptions, and show that Aerts' quantum machine can be embodied into a macroscopic version of the microscopic SR model, overcoming the seeming incompatibility between the two models. This result provides some hints for the construction of a unified perspective in which the two approaches can be properly placed.

  6. ISM Approach to Model Offshore Outsourcing Risks

    Directory of Open Access Journals (Sweden)

    Sunand Kumar

    2014-07-01

    Full Text Available In an effort to achieve a competitive advantage via cost reductions and improved market responsiveness, organizations are increasingly employing offshore outsourcing as a major component of their supply chain strategies. But as evident from literature number of risks such as Political risk, Risk due to cultural differences, Compliance and regulatory risk, Opportunistic risk and Organization structural risk, which adversely affect the performance of offshore outsourcing in a supply chain network. This also leads to dissatisfaction among different stake holders. The main objective of this paper is to identify and understand the mutual interaction among various risks which affect the performance of offshore outsourcing.  To this effect, authors have identified various risks through extant review of literature.  From this information, an integrated model using interpretive structural modelling (ISM for risks affecting offshore outsourcing is developed and the structural relationships between these risks are modeled.  Further, MICMAC analysis is done to analyze the driving power and dependency of risks which shall be helpful to managers to identify and classify important criterions and to reveal the direct and indirect effects of each criterion on offshore outsourcing. Results show that political risk and risk due to cultural differences are act as strong drivers.

  7. A market model for stochastic smile: a conditional density approach

    NARCIS (Netherlands)

    Zilber, A.

    2005-01-01

    The purpose of this paper is to introduce a new approach that allows to construct no-arbitrage market models of for implied volatility surfaces (in other words, stochastic smile models). That is to say, the idea presented here allows us to model prices of liquidly traded vanilla options as separate

  8. A modular approach to numerical human body modeling

    NARCIS (Netherlands)

    Forbes, P.A.; Griotto, G.; Rooij, L. van

    2007-01-01

    The choice of a human body model for a simulated automotive impact scenario must take into account both accurate model response and computational efficiency as key factors. This study presents a "modular numerical human body modeling" approach which allows the creation of a customized human body mod

  9. A BEHAVIORAL-APPROACH TO LINEAR EXACT MODELING

    NARCIS (Netherlands)

    ANTOULAS, AC; WILLEMS, JC

    1993-01-01

    The behavioral approach to system theory provides a parameter-free framework for the study of the general problem of linear exact modeling and recursive modeling. The main contribution of this paper is the solution of the (continuous-time) polynomial-exponential time series modeling problem. Both re

  10. Dynamic Metabolic Model Building Based on the Ensemble Modeling Approach

    Energy Technology Data Exchange (ETDEWEB)

    Liao, James C. [Univ. of California, Los Angeles, CA (United States)

    2016-10-01

    Ensemble modeling of kinetic systems addresses the challenges of kinetic model construction, with respect to parameter value selection, and still allows for the rich insights possible from kinetic models. This project aimed to show that constructing, implementing, and analyzing such models is a useful tool for the metabolic engineering toolkit, and that they can result in actionable insights from models. Key concepts are developed and deliverable publications and results are presented.

  11. Thermoplasmonics modeling: A Green's function approach

    Science.gov (United States)

    Baffou, Guillaume; Quidant, Romain; Girard, Christian

    2010-10-01

    We extend the discrete dipole approximation (DDA) and the Green’s dyadic tensor (GDT) methods—previously dedicated to all-optical simulations—to investigate the thermodynamics of illuminated plasmonic nanostructures. This extension is based on the use of the thermal Green’s function and a original algorithm that we named Laplace matrix inversion. It allows for the computation of the steady-state temperature distribution throughout plasmonic systems. This hybrid photothermal numerical method is suited to investigate arbitrarily complex structures. It can take into account the presence of a dielectric planar substrate and is simple to implement in any DDA or GDT code. Using this numerical framework, different applications are discussed such as thermal collective effects in nanoparticles assembly, the influence of a substrate on the temperature distribution and the heat generation in a plasmonic nanoantenna. This numerical approach appears particularly suited for new applications in physics, chemistry, and biology such as plasmon-induced nanochemistry and catalysis, nanofluidics, photothermal cancer therapy, or phase-transition control at the nanoscale.

  12. Coupling approaches used in atmospheric entry models

    Science.gov (United States)

    Gritsevich, M. I.

    2012-09-01

    While a planet orbits the Sun, it is subject to impact by smaller objects, ranging from tiny dust particles and space debris to much larger asteroids and comets. Such collisions have taken place frequently over geological time and played an important role in the evolution of planets and the development of life on the Earth. Though the search for near-Earth objects addresses one of the main points of the Asteroid and Comet Hazard, one should not underestimate the useful information to be gleaned from smaller atmospheric encounters, known as meteors or fireballs. Not only do these events help determine the linkages between meteorites and their parent bodies; due to their relative regularity they provide a good statistical basis for analysis. For successful cases with found meteorites, the detailed atmospheric path record is an excellent tool to test and improve existing entry models assuring the robustness of their implementation. There are many more important scientific questions meteoroids help us to answer, among them: Where do these objects come from, what are their origins, physical properties and chemical composition? What are the shapes and bulk densities of the space objects which fully ablate in an atmosphere and do not reach the planetary surface? Which values are directly measured and which are initially assumed as input to various models? How to couple both fragmentation and ablation effects in the model, taking real size distribution of fragments into account? How to specify and speed up the recovery of a recently fallen meteorites, not letting weathering to affect samples too much? How big is the pre-atmospheric projectile to terminal body ratio in terms of their mass/volume? Which exact parameters beside initial mass define this ratio? More generally, how entering object affects Earth's atmosphere and (if applicable) Earth's surface? How to predict these impact consequences based on atmospheric trajectory data? How to describe atmospheric entry

  13. Applied Regression Modeling A Business Approach

    CERN Document Server

    Pardoe, Iain

    2012-01-01

    An applied and concise treatment of statistical regression techniques for business students and professionals who have little or no background in calculusRegression analysis is an invaluable statistical methodology in business settings and is vital to model the relationship between a response variable and one or more predictor variables, as well as the prediction of a response value given values of the predictors. In view of the inherent uncertainty of business processes, such as the volatility of consumer spending and the presence of market uncertainty, business professionals use regression a

  14. Development of a computationally efficient urban modeling approach

    DEFF Research Database (Denmark)

    Wolfs, Vincent; Murla, Damian; Ntegeka, Victor;

    2016-01-01

    This paper presents a parsimonious and data-driven modelling approach to simulate urban floods. Flood levels simulated by detailed 1D-2D hydrodynamic models can be emulated using the presented conceptual modelling approach with a very short calculation time. In addition, the model detail can...... be adjust-ed, allowing the modeller to focus on flood-prone locations. This results in efficiently parameterized models that can be tailored to applications. The simulated flood levels are transformed into flood extent maps using a high resolution (0.5-meter) digital terrain model in GIS. To illustrate...... the developed methodology, a case study for the city of Ghent in Belgium is elaborated. The configured conceptual model mimics the flood levels of a detailed 1D-2D hydrodynamic InfoWorks ICM model accurately, while the calculation time is an order of magnitude of 106 times shorter than the original highly...

  15. Continuous Molecular Fields Approach Applied to Structure-Activity Modeling

    CERN Document Server

    Baskin, Igor I

    2013-01-01

    The Method of Continuous Molecular Fields is a universal approach to predict various properties of chemical compounds, in which molecules are represented by means of continuous fields (such as electrostatic, steric, electron density functions, etc). The essence of the proposed approach consists in performing statistical analysis of functional molecular data by means of joint application of kernel machine learning methods and special kernels which compare molecules by computing overlap integrals of their molecular fields. This approach is an alternative to traditional methods of building 3D structure-activity and structure-property models based on the use of fixed sets of molecular descriptors. The methodology of the approach is described in this chapter, followed by its application to building regression 3D-QSAR models and conducting virtual screening based on one-class classification models. The main directions of the further development of this approach are outlined at the end of the chapter.

  16. Prediction of altimetric sea level anomalies using time series models based on spatial correlation

    Science.gov (United States)

    Miziński, Bartłomiej; Niedzielski, Tomasz

    2014-05-01

    Sea level anomaly (SLA) times series, which are time-varying gridded data, can be modelled and predicted using time series methods. This approach has been shown to provide accurate forecasts within the Prognocean system, the novel infrastructure for anticipating sea level change designed and built at the University of Wrocław (Poland) which utilizes the real-time SLA data from Archiving, Validation and Interpretation of Satellite Oceanographic data (AVISO). The system runs a few models concurrently, and our ocean prediction experiment includes both uni- and multivariate time series methods. The univariate ones are: extrapolation of polynomial-harmonic model (PH), extrapolation of polynomial-harmonic model and autoregressive prediction (PH+AR), extrapolation of polynomial-harmonic model and self-exciting threshold autoregressive prediction (PH+SETAR). The following multivariate methods are used: extrapolation of polynomial-harmonic model and vector autoregressive prediction (PH+VAR), extrapolation of polynomial-harmonic model and generalized space-time autoregressive prediction (PH+GSTAR). As the aforementioned models and the corresponding forecasts are computed in real time, hence independently and in the same computational setting, we are allowed to compare the accuracies offered by the models. The objective of this work is to verify the hypothesis that the multivariate prediction techniques, which make use of cross-correlation and spatial correlation, perform better than the univariate ones. The analysis is based on the daily-fitted and updated time series models predicting the SLA data (lead time of two weeks) over several months when El Niño/Southern Oscillation (ENSO) was in its neutral state.

  17. Bayesian Approach to Neuro-Rough Models for Modelling HIV

    CERN Document Server

    Marwala, Tshilidzi

    2007-01-01

    This paper proposes a new neuro-rough model for modelling the risk of HIV from demographic data. The model is formulated using Bayesian framework and trained using Markov Chain Monte Carlo method and Metropolis criterion. When the model was tested to estimate the risk of HIV infection given the demographic data it was found to give the accuracy of 62% as opposed to 58% obtained from a Bayesian formulated rough set model trained using Markov chain Monte Carlo method and 62% obtained from a Bayesian formulated multi-layered perceptron (MLP) model trained using hybrid Monte. The proposed model is able to combine the accuracy of the Bayesian MLP model and the transparency of Bayesian rough set model.

  18. A forward modeling approach for interpreting impeller flow logs.

    Science.gov (United States)

    Parker, Alison H; West, L Jared; Odling, Noelle E; Bown, Richard T

    2010-01-01

    A rigorous and practical approach for interpretation of impeller flow log data to determine vertical variations in hydraulic conductivity is presented and applied to two well logs from a Chalk aquifer in England. Impeller flow logging involves measuring vertical flow speed in a pumped well and using changes in flow with depth to infer the locations and magnitudes of inflows into the well. However, the measured flow logs are typically noisy, which leads to spurious hydraulic conductivity values where simplistic interpretation approaches are applied. In this study, a new method for interpretation is presented, which first defines a series of physical models for hydraulic conductivity variation with depth and then fits the models to the data, using a regression technique. Some of the models will be rejected as they are physically unrealistic. The best model is then selected from the remaining models using a maximum likelihood approach. This balances model complexity against fit, for example, using Akaike's Information Criterion.

  19. An Adaptive Approach to Schema Classification for Data Warehouse Modeling

    Institute of Scientific and Technical Information of China (English)

    Hong-Ding Wang; Yun-Hai Tong; Shao-Hua Tan; Shi-Wei Tang; Dong-Qing Yang; Guo-Hui Sun

    2007-01-01

    Data warehouse (DW) modeling is a complicated task, involving both knowledge of business processes and familiarity with operational information systems structure and behavior. Existing DW modeling techniques suffer from the following major drawbacks -data-driven approach requires high levels of expertise and neglects the requirements of end users, while demand-driven approach lacks enterprise-wide vision and is regardless of existing models of underlying operational systems. In order to make up for those shortcomings, a method of classification of schema elements for DW modeling is proposed in this paper. We first put forward the vector space models for subjects and schema elements, then present an adaptive approach with self-tuning theory to construct context vectors of subjects, and finally classify the source schema elements into different subjects of the DW automatically. Benefited from the result of the schema elements classification, designers can model and construct a DW more easily.

  20. Accurate simulation of 802.11 indoor links: a “bursty” channel model based on real measurements

    OpenAIRE

    Luis Muñoz; Ramón Agüero; Marta García-Arranz

    2010-01-01

    We propose a novel channel model to be used for simulating indoor wireless propagation environments. An extensive measurement campaign was carried out to assess the performance of different transport protocols over 802.11 links. This enabled us to better adjust our approach, which is based on an autoregressive filter. One of the main advantages of this proposal lies in its ability to reflect the “bursty” behavior which characterizes indoor wireless scenarios, having a great impact...